/usr/include/ql/math/matrixutilities/svd.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) 2003 Neil Firth
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.
Adapted from the TNT project
http://math.nist.gov/tnt/download.html
This software was developed at the National Institute of Standards
and Technology (NIST) by employees of the Federal Government in the
course of their official duties. Pursuant to title 17 Section 105
of the United States Code this software is not subject to copyright
protection and is in the public domain. NIST assumes no responsibility
whatsoever for its use by other parties, and makes no guarantees,
expressed or implied, about its quality, reliability, or any other
characteristic.
We would appreciate acknowledgement if the software is incorporated in
redistributable libraries or applications.
*/
/*! \file svd.hpp
\brief singular value decomposition
*/
#ifndef quantlib_math_svd_h
#define quantlib_math_svd_h
#include <ql/math/matrix.hpp>
namespace QuantLib {
//! Singular value decomposition
/*! Refer to Golub and Van Loan: Matrix computation,
The Johns Hopkins University Press
\test the correctness of the returned values is tested by
checking their properties.
*/
class SVD {
public:
// constructor
SVD(const Matrix&);
// results
const Matrix& U() const;
const Matrix& V() const;
const Array& singularValues() const;
Disposable<Matrix> S() const;
Real norm2() const;
Real cond() const;
Size rank() const;
// utilities
Disposable<Array> solveFor(const Array&) const;
private:
Matrix U_, V_;
Array s_;
Integer m_, n_;
bool transpose_;
};
}
#endif
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