- QuantLib
- OrthogonalProjections
#include <ql/math/matrixutilities/basisincompleteordered.hpp>
Public Member Functions | |
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 |
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();