blockmatrixinverse.hpp File Reference

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)

Detailed Description

inverse of a matrix using a block formula

Function Documentation

modifiedMaxNorm()

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)