/usr/include/ql/math/matrixutilities/tqreigendecomposition.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.
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/*
Copyright (C) 2005 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 tqreigendecomposition.hpp
\brief tridiag. QR eigen decomposition with explicite shift aka Wilkinson
*/
#ifndef quantlib_tqr_eigen_decomposition_hpp
#define quantlib_tqr_eigen_decomposition_hpp
#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
namespace QuantLib {
//! 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,
\test the correctness of the result is tested by checking it
against known good values.
*/
class TqrEigenDecomposition {
public:
enum EigenVectorCalculation { WithEigenVector,
WithoutEigenVector,
OnlyFirstRowEigenVector };
enum ShiftStrategy { NoShift,
Overrelaxation,
CloseEigenValue };
TqrEigenDecomposition(const Array& diag,
const Array& sub,
EigenVectorCalculation calc = WithEigenVector,
ShiftStrategy strategy = CloseEigenValue);
const Array& eigenvalues() const { return d_; }
const Matrix& eigenvectors() const { return ev_; }
Size iterations() const { return iter_; }
private:
bool offDiagIsZero(Size k, Array& e);
Size iter_;
Array d_;
Matrix ev_;
};
}
#endif
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