Package org.drip.numerical.decomposition

Class SingularValueDecomposer

java.lang.Object

org.drip.numerical.decomposition.SingularValueDecomposer

public class SingularValueDecomposer
extends java.lang.Object

SingularValueDecomposer runs the Singular Value Decomposition on a specified Matrix. The References are:

• Alon, N., and A. Naor (2004): Approximating the Cut-norm via Grothendieck Inequality Proceedings of the 36^th Annual ACM Symposium on Theory of Computing STOC’04 ACM Chicago IL
• Golub, G. H., and C. F. van Loan (1996): Matrix Computations 3^rd Edition Johns Hopkins University Press Baltimore MD
• Horn, R. A., and C. R. Johnson (2013): Matrix Analysis 2^nd Edition Cambridge University Press Cambridge UK
• Lazslo, L. (2012): Large Networks and Graph Limits American Mathematical Society Providence RI
• Wikipedia (2024): Matrix Norm https://en.wikipedia.org/wiki/Matrix_norm

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities
• Package = Implementation of Matrix Norm Variants

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
SingularValueDecomposer()

Method Summary

Modifier and Type	Method	Description
UV	decompose(R1Square r1Square)	Run a Singular Value Decomposition on a specified Matrix

Methods inherited from class java.lang.Object

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

Constructor Details

SingularValueDecomposer

public SingularValueDecomposer()

Method Details

decompose

public UV decompose(R1Square r1Square)

Run a Singular Value Decomposition on a specified Matrix

Parameters:

r1Square - R¹ Square Matrix

Returns:

The UV Result