Examples of com.opengamma.analytics.math.linearalgebra.TridiagonalMatrix

Package com.opengamma.analytics.math.linearalgebra

Examples of com.opengamma.analytics.math.linearalgebra.TridiagonalMatrix

com.opengamma.analytics.math.linearalgebra.TridiagonalMatrix
Class representing a tridiagonal matrix: $$ \begin{align*} \begin{pmatrix} a_1 & b_1 & 0 & \cdots & 0 & 0 & 0 \\ c_1 & a_2 & b_2 & \cdots & 0 & 0 & 0 \\ 0 & & \ddots & & \vdots & \vdots & \vdots \\ 0 & 0 & 0 & & c_{n-2} & a_{n-1} & b_{n-1} \\ 0 & 0 & 0 & \cdots & 0 & c_{n-1} & a_n \end{pmatrix} \end{align*} $$

    } else {
      a[n - 1] = deltaX[n - 2] / 3.0;
      c[n - 2] = deltaX[n - 2] / 6.0;
    }


    final TridiagonalMatrix tridiagonal = new TridiagonalMatrix(a, b, c);
    return invertor.evaluate(tridiagonal);
  }

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      b[i] = doubMat[i][i];
      c[i] = doubMat[i + 1][i];
    }
    b[sizeM1] = doubMat[sizeM1][sizeM1];


    final TridiagonalMatrix m = new TridiagonalMatrix(b, a, c);


    return solvTriDag(m, doubVec);
  }

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      u[i] = doubMat1[i][i + 1];
      d[i] = doubMat1[i][i];
      l[i] = doubMat1[i + 1][i];
    }
    d[size - 1] = doubMat1[size - 1][size - 1];
    final TridiagonalMatrix m = new TridiagonalMatrix(d, u, l);
    res[0] = new DoubleMatrix1D(solvTriDag(m, doubVec));
    for (int i = 0; i < size; ++i) {
      final double[] doubMat2Colum = doubMat2Matrix.getColumnVector(i).getData();
      res[i + 1] = new DoubleMatrix1D(solvTriDag(m, doubMat2Colum));
    }

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        for (int ii = 1; ii < _nNodesX - 1; ii++) {
          d[ii] = 1 + _theta * dt * cDag[ii - 1];
          u[ii] = _theta * dt * uDag[ii - 1];
          l[ii - 1] = _theta * dt * lDag[ii - 1];
        }
        final TridiagonalMatrix lhs = new TridiagonalMatrix(d, u, l);


        //solve the system (update h)
        switch (_mode) {
          case tridiagonal:
            h = solvTriDag(lhs, y);

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        l[ii] = RANDOM.nextRandom();
        u[ii] = RANDOM.nextRandom();
      }
    }


    final TridiagonalMatrix m = new TridiagonalMatrix(c, u, l);
    final DoubleMatrix1D xVec = new DoubleMatrix1D(x);
    DoubleMatrix1D y1 = (DoubleMatrix1D) ALGEBRA.multiply(m, xVec);
    DoubleMatrix2D full = m.toDoubleMatrix2D();
    DoubleMatrix1D y2 = (DoubleMatrix1D) ALGEBRA.multiply(full, xVec);


    for (int i = 0; i < n; i++) {
      assertEquals(y1.getEntry(i), y2.getEntry(i), 1e-12);
    }

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