/usr/include/ql/math/matrixutilities/bicgstab.hpp is in libquantlib0-dev 1.7.1-1.
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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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Ralph Schreyer
Copyright (C) 2009 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
<http://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 bicgstab.hpp
\brief bi-conjugated gradient stableized algorithm
*/
#ifndef quantlib_bicgstab_hpp
#define quantlib_bicgstab_hpp
#include <ql/math/array.hpp>
#include <boost/function.hpp>
namespace QuantLib {
struct BiCGStabResult {
Size iterations;
Real error;
Array x;
};
class BiCGstab {
public:
typedef boost::function1<Disposable<Array> , const Array& > MatrixMult;
BiCGstab(const MatrixMult& A, Size maxIter, Real relTol,
const MatrixMult& preConditioner = MatrixMult());
BiCGStabResult solve(const Array& b, const Array& x0 = Array()) const;
protected:
Real norm2(const Array& a) const;
const MatrixMult A_, M_;
const Size maxIter_;
const Real relTol_;
};
}
#endif
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