Package org.drip.numerical.eigen

Class QREigenComponentExtractor

java.lang.Object
org.drip.numerical.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 Description
    QREigenComponentExtractor​(int maxIterations, double tolerance)
    QREigenComponentExtractor Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.List<java.lang.Integer> eigenComponentOrderList​(EigenOutput eigenOutput)
    Generate the Ordered List of Eigenvalues for the specified Eigen-output
    EigenOutput eigenize​(double[][] a)
    Eigenize and Extract the Components of the Specified Matrix
    int maxIterations()
    Retrieve the Maximum Number of Iterations
    EigenComponent[] orderedEigenComponentArray​(double[][] a)
    Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue
    EigenComponent principalComponent​(double[][] a)
    Compute the Principal Component of the Specified Matrix
    double tolerance()
    Retrieve the Tolerance Level
    UD udForm​(double[][] a)
    Generate the UD Form of the Input Matrix

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • QREigenComponentExtractor

      public QREigenComponentExtractor​(int maxIterations, double tolerance) throws java.lang.Exception
      QREigenComponentExtractor Constructor
      Parameters:
      maxIterations - Maximum Number of Iterations
      tolerance - Tolerance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • 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[][] a)
      Description copied from interface: ComponentExtractor
      Eigenize and Extract the Components of the Specified Matrix
      Specified by:
      eigenize in interface ComponentExtractor
      Parameters:
      a - The Input Matrix
      Returns:
      The EigenComponents

    • eigenComponentOrderList

      public java.util.List<java.lang.Integer> eigenComponentOrderList​(EigenOutput eigenOutput)
      Generate the Ordered List of Eigenvalues for the specified Eigen-output
      Parameters:
      eigenOutput - The Eigen Output
      Returns:
      The Order List

    • orderedEigenComponentArray

      public EigenComponent[] orderedEigenComponentArray​(double[][] a)
      Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue
      Parameters:
      a - Input Matrix
      Returns:
      The Ordered List of Eigen Components arranged by Ascending Eigenvalue

    • principalComponent

      public EigenComponent principalComponent​(double[][] a)
      Description copied from interface: ComponentExtractor
      Compute the Principal Component of the Specified Matrix
      Specified by:
      principalComponent in interface ComponentExtractor
      Parameters:
      a - The Input Matrix
      Returns:
      The Principal EigenComponent Instance

    • udForm

      public UD udForm​(double[][] a)
      Generate the UD Form of the Input Matrix
      Parameters:
      a - The Input Matrix
      Returns:
      The UD Form