![]() QuantLib 0.3.9Getting startedReference manual |
SymmetricSchurDecomposition Class Reference#include <ql/Math/symmetricschurdecomposition.hpp>
Detailed Descriptionsymmetric threshold Jacobi algorithm.Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal matrix formed by the eigenvalues and U the unitarian matrix of the eigenvectors we can write the Schur decomposition as
where
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