OrthogonalProjections Class Reference

#include <ql/math/matrixutilities/basisincompleteordered.hpp>

Public Member Functions
	OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance)
const std::valarray< bool > &	validVectors () const
const std::vector< Real > &	GetVector (Size index) const
Size	numberValidVectors () const

Detailed Description

Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i>

This is done by performing GramSchmidt on the other vectors and then projecting onto the orthogonal space.

This class is tested in

MatricesTest::testOrthogonalProjection();