com.opengamma.strata.math.impl.linearalgebra

Class SVDecompositionCommonsResult

java.lang.Object

com.opengamma.strata.math.impl.linearalgebra.SVDecompositionCommonsResult

All Implemented Interfaces:

SVDecompositionResult, DecompositionResult

public class SVDecompositionCommonsResult
extends Object
implements SVDecompositionResult

Wrapper for results of the Commons implementation of singular value decomposition SVDecompositionCommons.

Constructor Summary

Constructors

Constructor and Description
SVDecompositionCommonsResult(org.apache.commons.math3.linear.SingularValueDecomposition svd) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	getConditionNumber() Returns the condition number of the matrix.
double	getNorm() Returns the $L_2$ norm of the matrix.
int	getRank() Returns the effective numerical matrix rank.
DoubleMatrix	getS() Returns the diagonal matrix $\mathbf{\Sigma}$ of the decomposition.
double[]	getSingularValues() Returns the diagonal elements of the matrix $\mathbf{\Sigma}$ of the decomposition.
DoubleMatrix	getU() Returns the matrix $\mathbf{U}$ of the decomposition.
DoubleMatrix	getUT() Returns the transpose of the matrix $\mathbf{U}$ of the decomposition.
DoubleMatrix	getV() Returns the matrix $\mathbf{V}$ of the decomposition.
DoubleMatrix	getVT() Returns the transpose of the matrix $\mathbf{V}$ of the decomposition.
double[]	solve(double[] b) Solves $\mathbf{A}x = b$ where $\mathbf{A}$ is a (decomposed) matrix and $b$ is a vector.
DoubleArray	solve(DoubleArray b) Solves $\mathbf{A}x = b$ where $\mathbf{A}$ is a (decomposed) matrix and $b$ is a vector.
DoubleMatrix	solve(DoubleMatrix b) Solves $\mathbf{A}x = \mathbf{B}$ where $\mathbf{A}$ is a (decomposed) matrix and $\mathbf{B}$ is a matrix.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SVDecompositionCommonsResult

public SVDecompositionCommonsResult(org.apache.commons.math3.linear.SingularValueDecomposition svd)

Creates an instance.

Parameters:

svd - The result of the SV decomposition, not null

Method Detail

getConditionNumber

public double getConditionNumber()

Returns the condition number of the matrix.

Specified by:

getConditionNumber in interface SVDecompositionResult

Returns:

condition number of the matrix

getNorm

public double getNorm()

Returns the $L_2$ norm of the matrix.

The $L_2$ norm is $\max\left(\frac{|\mathbf{A} \times U|_2}{|U|_2}\right)$, where $|.|_2$ denotes the vectorial 2-norm (i.e. the traditional Euclidian norm).

Specified by:

getNorm in interface SVDecompositionResult

Returns:

norm

getRank

public int getRank()

Returns the effective numerical matrix rank.

The effective numerical rank is the number of non-negligible singular values. The threshold used to identify non-negligible terms is $\max(m, n) \times \mathrm{ulp}(S_1)$, where $\mathrm{ulp}(S_1)$ is the least significant bit of the largest singular value.

Specified by:

getRank in interface SVDecompositionResult

Returns:

effective numerical matrix rank

getS

public DoubleMatrix getS()

Returns the diagonal matrix $\mathbf{\Sigma}$ of the decomposition.

$\mathbf{\Sigma}$ is a diagonal matrix. The singular values are provided in non-increasing order.

Specified by:

getS in interface SVDecompositionResult

Returns:

the $\mathbf{\Sigma}$ matrix

getSingularValues

public double[] getSingularValues()

Returns the diagonal elements of the matrix $\mathbf{\Sigma}$ of the decomposition.

The singular values are provided in non-increasing order.

Specified by:

getSingularValues in interface SVDecompositionResult

Returns:

the diagonal elements of the $\mathbf{\Sigma}$ matrix

getU

public DoubleMatrix getU()

Returns the matrix $\mathbf{U}$ of the decomposition.

$\mathbf{U}$ is an orthogonal matrix, i.e. its transpose is also its inverse.

Specified by:

getU in interface SVDecompositionResult

Returns:

the $\mathbf{U}$ matrix

getUT

public DoubleMatrix getUT()

Returns the transpose of the matrix $\mathbf{U}$ of the decomposition.

$\mathbf{U}$ is an orthogonal matrix, i.e. its transpose is also its inverse.

Specified by:

getUT in interface SVDecompositionResult

Returns:

the U matrix (or null if decomposed matrix is singular)

getV

public DoubleMatrix getV()

Returns the matrix $\mathbf{V}$ of the decomposition.

$\mathbf{V}$ is an orthogonal matrix, i.e. its transpose is also its inverse.

Specified by:

getV in interface SVDecompositionResult

Returns:

the $\mathbf{V}$ matrix

getVT

public DoubleMatrix getVT()

Returns the transpose of the matrix $\mathbf{V}$ of the decomposition.

$\mathbf{V}$ is an orthogonal matrix, i.e. its transpose is also its inverse.

Specified by:

getVT in interface SVDecompositionResult

Returns:

the $\mathbf{V}$ matrix

solve

public DoubleArray solve(DoubleArray b)

Solves $\mathbf{A}x = b$ where $\mathbf{A}$ is a (decomposed) matrix and $b$ is a vector.

Specified by:

solve in interface DecompositionResult

Parameters:

b - the vector to calculate with

Returns:

the vector x

solve

public double[] solve(double[] b)

Solves $\mathbf{A}x = b$ where $\mathbf{A}$ is a (decomposed) matrix and $b$ is a vector.

Specified by:

solve in interface DecompositionResult

Parameters:

b - the vector to calculate with

Returns:

the vector x

solve

public DoubleMatrix solve(DoubleMatrix b)

Solves $\mathbf{A}x = \mathbf{B}$ where $\mathbf{A}$ is a (decomposed) matrix and $\mathbf{B}$ is a matrix.

Specified by:

solve in interface DecompositionResult

Parameters:

b - the matrix to calculate with

Returns:

the matrix x