inverse of a matrix using a block formula More...
#include <ql/math/matrix.hpp>
#include <ql/math/matrixutilities/sparsematrix.hpp>
Functions | |
QuantLib::SparseMatrix | inverse (QuantLib::SparseMatrix m) |
QuantLib::Matrix | blockMatrixInverse (const QuantLib::Matrix &A, const std::vector< QuantLib::Size > &blockIndices) |
QuantLib::SparseMatrix | blockMatrixInverse (const QuantLib::SparseMatrix &A, const std::vector< QuantLib::Size > &blockIndices) |
QuantLib::Real | modifiedMaxNorm (const QuantLib::SparseMatrix &A) |
inverse of a matrix using a block formula
QuantLib::Real QuantExt::modifiedMaxNorm | ( | const QuantLib::SparseMatrix & | A | ) |
modified max norm of a sparse matrix, i.e. std::sqrt(row * columns) * max_i,j abs(a_i,j)