/usr/include/ql/math/matrixutilities/qrdecomposition.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2008 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file qrdecomposition.hpp
\brief QR decomposition
*/
#ifndef quantlib_qr_decomposition_hpp
#define quantlib_qr_decomposition_hpp
#include <ql/math/matrix.hpp>
namespace QuantLib {
//! QR decompoisition
/*! This implementation is based on MINPACK
(<http://www.netlib.org/minpack>,
<http://www.netlib.org/cephes/linalg.tgz>)
This subroutine uses householder transformations with column
pivoting (optional) to compute a qr factorization of the
m by n matrix A. That is, qrfac determines an orthogonal
matrix q, a permutation matrix p, and an upper trapezoidal
matrix r with diagonal elements of nonincreasing magnitude,
such that A*p = q*r.
Return value ipvt is an integer array of length n, which
defines the permutation matrix p such that A*p = q*r.
Column j of p is column ipvt(j) of the identity matrix.
See lmdiff.cpp for further details.
*/
Disposable<std::vector<Size> > qrDecomposition(const Matrix& A,
Matrix& q,
Matrix& r,
bool pivot = true);
//! QR Solve
/*! This implementation is based on MINPACK
(<http://www.netlib.org/minpack>,
<http://www.netlib.org/cephes/linalg.tgz>)
Given an m by n matrix A, an n by n diagonal matrix d,
and an m-vector b, the problem is to determine an x which
solves the system
A*x = b , d*x = 0 ,
in the least squares sense.
d is an input array of length n which must contain the
diagonal elements of the matrix d.
See lmdiff.cpp for further details.
*/
Disposable<Array> qrSolve(const Matrix& a,
const Array& b,
bool pivot = true,
const Array& d = Array());
}
#endif
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