org.drip.quant.eigen

Class QREigenComponentExtractor

java.lang.Object

org.drip.quant.eigen.QREigenComponentExtractor

All Implemented Interfaces:

ComponentExtractor

public class QREigenComponentExtractor
extends java.lang.Object
implements ComponentExtractor

QREigenComponentExtractor extracts the Eigenvalues and Eigenvectors using QR Decomposition.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
QREigenComponentExtractor(int iMaxIteration, double dblTolerance) QREigenComponentExtractor Constructor

Method Summary

Modifier and Type	Method and Description
EigenOutput	eigenize(double[][] aadblA) Eigenize and Extract the Components of the Specified Matrix
int	maxIterations() Retrieve the Maximum Number of Iterations
EigenComponent[]	orderedComponents(double[][] aadblA) Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue
java.util.List<java.lang.Integer>	orderedEigenList(EigenOutput eo) Generate the Order List of Eigenvalues for the specified Eigen-output
EigenComponent	principalComponent(double[][] aadblA) Compute the Principal Component of the Specified Matrix
double	tolerance() Retrieve the Tolerance Level

Methods inherited from class java.lang.Object

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

Constructor Detail

QREigenComponentExtractor

public QREigenComponentExtractor(int iMaxIteration,
                                 double dblTolerance)
                          throws java.lang.Exception

QREigenComponentExtractor Constructor

Parameters:

iMaxIteration - Maximum Number of Iterations

dblTolerance - Tolerance

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

maxIterations

public int maxIterations()

Retrieve the Maximum Number of Iterations

Returns:

The Maximum Number of Iterations

tolerance

public double tolerance()

Retrieve the Tolerance Level

Returns:

The Tolerance Level

eigenize

public EigenOutput eigenize(double[][] aadblA)

Description copied from interface: ComponentExtractor

Eigenize and Extract the Components of the Specified Matrix

Specified by:

eigenize in interface ComponentExtractor

Parameters:

aadblA - The Input Matrix

Returns:

The EigenComponents

orderedEigenList

public java.util.List<java.lang.Integer> orderedEigenList(EigenOutput eo)

Generate the Order List of Eigenvalues for the specified Eigen-output

Parameters:

eo - The Eigen Output

Returns:

The Order List

orderedComponents

public EigenComponent[] orderedComponents(double[][] aadblA)

Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue

Parameters:

aadblA - Input Matrix

Returns:

The Ordered List of Eigen Components arranged by Ascending Eigenvalue

principalComponent

public EigenComponent principalComponent(double[][] aadblA)

Description copied from interface: ComponentExtractor

Compute the Principal Component of the Specified Matrix

Specified by:

principalComponent in interface ComponentExtractor

Parameters:

aadblA - The Input Matrix

Returns:

The Principal EigenComponent Instance