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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 Mark Joshi
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_basis_incomplete_ordered_hpp
#define quantlib_basis_incomplete_ordered_hpp
#include <ql/math/matrix.hpp>
#include <valarray>
namespace QuantLib {
class BasisIncompleteOrdered {
public:
BasisIncompleteOrdered(Size euclideanDimension);
//! return value indicates if the vector was linearly independent
bool addVector(const Array& newVector);
Size basisSize() const;
Size euclideanDimension() const;
Matrix getBasisAsRowsInMatrix() const;
private:
std::vector<Array> currentBasis_;
Size euclideanDimension_;
Array newVector_;
};
/*! Given a collection of vectors, w_i, find a collection of vectors x_i such that
x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i>
This is done by performing GramSchmidt on the other vectors and then projecting onto
the orthogonal space.
This class is tested in
MatricesTest::testOrthogonalProjection();
*/
class OrthogonalProjections
{
public:
OrthogonalProjections(const Matrix& originalVectors,
Real multiplierCutOff,
Real tolerance );
const std::valarray<bool>& validVectors() const;
const std::vector<Real>& GetVector(Size index) const;
Size numberValidVectors() const;
private:
//! inputs
Matrix originalVectors_;
Real multiplierCutoff_;
Size numberVectors_;
Size numberValidVectors_;
Size dimension_;
//!outputs
std::valarray<bool> validVectors_;
std::vector<std::vector<Real> > projectedVectors_;
//!workspace
Matrix orthoNormalizedVectors_;
};
}
#endif
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