Package com.opengamma.strata.math.impl.linearalgebra

Interface SVDecompositionResult

    • Method Detail

      • getU

        DoubleMatrix getU()
        Returns the matrix $\mathbf{U}$ of the decomposition.

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

        Returns:
        the $\mathbf{U}$ matrix

      • getUT

        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.

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

      • getS

        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.

        Returns:
        the $\mathbf{\Sigma}$ matrix

      • getSingularValues

        double[] getSingularValues()
        Returns the diagonal elements of the matrix $\mathbf{\Sigma}$ of the decomposition.

        The singular values are provided in non-increasing order.

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

      • getV

        DoubleMatrix getV()
        Returns the matrix $\mathbf{V}$ of the decomposition.

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

        Returns:
        the $\mathbf{V}$ matrix

      • getVT

        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.

        Returns:
        the $\mathbf{V}$ matrix

      • getNorm

        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).

        Returns:
        norm

      • getConditionNumber

        double getConditionNumber()
        Returns the condition number of the matrix.
        Returns:
        condition number of the matrix

      • getRank

        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.

        Returns:
        effective numerical matrix rank