Package com.opengamma.strata.math.impl.matrix

Class CommonsMatrixAlgebra

java.lang.Object

com.opengamma.strata.math.impl.matrix.MatrixAlgebra

com.opengamma.strata.math.impl.matrix.CommonsMatrixAlgebra

public class CommonsMatrixAlgebra
extends MatrixAlgebra

Provides matrix algebra by using the Commons library.

Constructor Summary

Constructors

Constructor	Description
CommonsMatrixAlgebra()

Method Summary

Modifier and Type	Method	Description
double	getCondition(Matrix m)	Returns the condition number of the matrix.
double	getDeterminant(Matrix m)	Returns the determinant of the matrix.
double	getInnerProduct(Matrix m1, Matrix m2)	Returns the inner (or dot) product.
DoubleMatrix	getInverse(Matrix m)	Returns the inverse (or pseudo-inverse) of the matrix.
double	getNorm1(Matrix m)	For a vector, returns the $L_1$ norm (also known as the Taxicab norm or Manhattan norm), i.e.
double	getNorm2(Matrix m)	For a vector, returns $L_2$ norm (also known as the Euclidean norm).
double	getNormInfinity(Matrix m)	For a vector, returns the $L_\infty$ norm.
DoubleMatrix	getOuterProduct(Matrix m1, Matrix m2)	Returns the outer product.
DoubleMatrix	getPower(Matrix m, double p)	Returns a real matrix raised to some real power Currently this method is limited to symmetric matrices only as Commons Math does not support the diagonalization of asymmetric matrices.
DoubleMatrix	getPower(Matrix m, int p)	Returns a matrix raised to an integer power, e.g.
double	getTrace(Matrix m)	Returns the trace (i.e.
DoubleMatrix	getTranspose(Matrix m)	Returns the transpose of a matrix.
Matrix	multiply(Matrix m1, Matrix m2)	Multiplies two matrices.

Methods inherited from class com.opengamma.strata.math.impl.matrix.MatrixAlgebra

add, divide, kroneckerProduct, matrixTransposeMultiplyMatrix, scale, subtract

Methods inherited from class java.lang.Object

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

Constructor Detail

CommonsMatrixAlgebra

public CommonsMatrixAlgebra()

Method Detail

getCondition

public double getCondition(Matrix m)

Description copied from class: MatrixAlgebra

Returns the condition number of the matrix.

Specified by:

getCondition in class MatrixAlgebra

Parameters:

m - A matrix, not null

Returns:

The condition number of the matrix

getDeterminant

public double getDeterminant(Matrix m)

Description copied from class: MatrixAlgebra

Returns the determinant of the matrix.

Specified by:

getDeterminant in class MatrixAlgebra

Parameters:

m - A matrix, not null

Returns:

The determinant of the matrix

getInnerProduct

public double getInnerProduct(Matrix m1,
                              Matrix m2)

Description copied from class: MatrixAlgebra

Returns the inner (or dot) product.

Specified by:

getInnerProduct in class MatrixAlgebra

Parameters:

m1 - A vector, not null

m2 - A vector, not null

Returns:

The scalar dot product

getInverse

public DoubleMatrix getInverse(Matrix m)

Description copied from class: MatrixAlgebra

Returns the inverse (or pseudo-inverse) of the matrix.

Specified by:

getInverse in class MatrixAlgebra

Parameters:

m - A matrix, not null

Returns:

The inverse matrix

getNorm1

public double getNorm1(Matrix m)

Description copied from class: MatrixAlgebra

For a vector, returns the $L_1$ norm (also known as the Taxicab norm or Manhattan norm), i.e. $\Sigma |x_i|$.

For a matrix, returns the maximum absolute column sum norm of the matrix.

Specified by:

getNorm1 in class MatrixAlgebra

Parameters:

m - A vector or matrix, not null

Returns:

The $L_1$ norm

getNorm2

public double getNorm2(Matrix m)

Description copied from class: MatrixAlgebra

For a vector, returns $L_2$ norm (also known as the Euclidean norm).

For a matrix, returns the spectral norm

Specified by:

getNorm2 in class MatrixAlgebra

Parameters:

m - A vector or matrix, not null

Returns:

the norm

getNormInfinity

public double getNormInfinity(Matrix m)

Description copied from class: MatrixAlgebra

For a vector, returns the $L_\infty$ norm. $L_\infty$ norm is the maximum of the absolute values of the elements.

For a matrix, returns the maximum absolute row sum norm

Specified by:

getNormInfinity in class MatrixAlgebra

Parameters:

m - a vector or a matrix, not null

Returns:

the norm

getOuterProduct

public DoubleMatrix getOuterProduct(Matrix m1,
                                    Matrix m2)

Description copied from class: MatrixAlgebra

Returns the outer product.

Specified by:

getOuterProduct in class MatrixAlgebra

Parameters:

m1 - A vector, not null

m2 - A vector, not null

Returns:

The outer product

getPower

public DoubleMatrix getPower(Matrix m,
                             int p)

Description copied from class: MatrixAlgebra

Returns a matrix raised to an integer power, e.g. $\mathbf{A}^3 = \mathbf{A}\mathbf{A}\mathbf{A}$.

Specified by:

getPower in class MatrixAlgebra

Parameters:

m - A square matrix, not null

p - An integer power

Returns:

The result

getPower

public DoubleMatrix getPower(Matrix m,
                             double p)

Returns a real matrix raised to some real power Currently this method is limited to symmetric matrices only as Commons Math does not support the diagonalization of asymmetric matrices.

Specified by:

getPower in class MatrixAlgebra

Parameters:

m - The symmetric matrix to take the power of.

p - The power to raise to matrix to

Returns:

The result

getTrace

public double getTrace(Matrix m)

Description copied from class: MatrixAlgebra

Returns the trace (i.e. sum of diagonal elements) of a matrix.

Specified by:

getTrace in class MatrixAlgebra

Parameters:

m - A matrix, not null. The matrix must be square.

Returns:

The trace

getTranspose

public DoubleMatrix getTranspose(Matrix m)

Description copied from class: MatrixAlgebra

Returns the transpose of a matrix.

Specified by:

getTranspose in class MatrixAlgebra

Parameters:

m - A matrix, not null

Returns:

The transpose matrix

multiply

public Matrix multiply(Matrix m1,
                       Matrix m2)

Multiplies two matrices. The following combinations of input matrices m1 and m2 are allowed:

• m1 = 2-D matrix, m2 = 2-D matrix, returns $\mathbf{C} = \mathbf{AB}$
• m1 = 2-D matrix, m2 = 1-D matrix, returns $\mathbf{C} = \mathbf{A}b$

Specified by:

multiply in class MatrixAlgebra

Parameters:

m1 - The first matrix, not null.

m2 - The second matrix, not null.

Returns:

The product of the two matrices.