TqrEigenDecomposition Class Reference

tridiag. QR eigen decomposition with explicite shift aka Wilkinson More...

#include <ql/math/matrixutilities/tqreigendecomposition.hpp>

Public Types

enum  EigenVectorCalculation { WithEigenVector, WithoutEigenVector, OnlyFirstRowEigenVector }
 
enum  ShiftStrategy { NoShift, Overrelaxation, CloseEigenValue }
 

Public Member Functions

 TqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue)
 
const Arrayeigenvalues () const
 
const Matrixeigenvectors () const
 
Size iterations () const
 

Detailed Description

tridiag. QR eigen decomposition with explicite shift aka Wilkinson

References:

   Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of
   Handbook for Automatic Computation (New York: Springer-Verlag)

   "Numerical Recipes in C", 2nd edition,
   Press, Teukolsky, Vetterling, Flannery,
Tests:
the correctness of the result is tested by checking it against known good values.