1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2024 Klaus Spanderen
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.
*/
/*! \file householder.hpp
\brief Householder transformation and Householder projection
*/
#ifndef quantlib_householder_hpp
#define quantlib_householder_hpp
#include <ql/math/matrix.hpp>
namespace QuantLib {
/*! References:
https://en.wikipedia.org/wiki/Householder_transformation
*/
class HouseholderTransformation {
public:
explicit HouseholderTransformation(Array v);
Matrix getMatrix() const;
Array operator()(const Array& x) const;
private:
const Array v_;
};
class HouseholderReflection {
public:
explicit HouseholderReflection(Array e);
Array operator()(const Array& a) const;
Array reflectionVector(const Array& a) const;
private:
const Array e_;
};
}
#endif
|
