/usr/include/ql/math/matrixutilities/sparseilupreconditioner.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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 60 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Ralph Schreyer
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 sparseilupreconditioner.hpp
\brief Preconditioner using the Incomplete LU algorithm and sparse matrices
*/
#ifndef quantlib_sparse_ilu_preconditioner_hpp
#define quantlib_sparse_ilu_preconditioner_hpp
#include <ql/qldefines.hpp>
#if !defined(QL_NO_UBLAS_SUPPORT)
#include <ql/math/array.hpp>
#include <ql/math/matrixutilities/sparsematrix.hpp>
namespace QuantLib {
/*! References:
Saad, Yousef. 1996, Iterative methods for sparse linear systems,
http://www-users.cs.umn.edu/~saad/books.html
*/
class SparseILUPreconditioner {
public:
SparseILUPreconditioner(const SparseMatrix& A, Integer lfil = 1);
const SparseMatrix& L() const;
const SparseMatrix& U() const;
Disposable<Array> apply(const Array& b) const;
private:
SparseMatrix L_, U_;
std::vector<Size> lBands_, uBands_;
Disposable<Array> forwardSolve(const Array& b) const;
Disposable<Array> backwardSolve(const Array& y) const;
};
}
#endif
#endif
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