Package com.opengamma.analytics.math.matrix

Examples of com.opengamma.analytics.math.matrix.MatrixAlgebra.multiply()

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    final double[] iborTime = lmm.getIborTime();
    final double[] almm = lmm.getDisplacement();
    final double[] deltalmm = lmm.getAccrualFactor();
    final DoubleMatrix2D gammaLMM = new DoubleMatrix2D(lmm.getVolatility());
    final MatrixAlgebra algebra = new CommonsMatrixAlgebra();
    final DoubleMatrix2D s = (DoubleMatrix2D) algebra.multiply(gammaLMM, algebra.getTranspose(gammaLMM));
    final int nbJump = jumpTime.length - 1;
    final int nbPath = initIbor[0].length;
    final int nbPeriodLMM = lmm.getNbPeriod();
    final int nbFactorLMM = lmm.getNbFactor();
    final double[] dt = new double[nbJump];
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    final double[] iborTime = lmm.getIborTime();
    final double[] almm = lmm.getDisplacement();
    final double[] deltalmm = lmm.getAccrualFactor();
    final DoubleMatrix2D gammaLMM = new DoubleMatrix2D(lmm.getVolatility());
    final MatrixAlgebra algebra = new CommonsMatrixAlgebra();
    final DoubleMatrix2D s = (DoubleMatrix2D) algebra.multiply(gammaLMM, algebra.getTranspose(gammaLMM));
    final int nbJump = jumpTime.length - 1;
    final int nbPath = initIbor[0].length;
    final int nbPeriodLMM = lmm.getNbPeriod();
    final int nbFactorLMM = lmm.getNbFactor();
    final double[] dt = new double[nbJump];
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    final SVDecompositionResult svd_result = (SVDecompositionResult) result;
    final DoubleMatrix2D u = svd_result.getU();
    final double[] sv = svd_result.getSingularValues();
    final DoubleMatrix2D w = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(sv);
    final DoubleMatrix2D vt = svd_result.getVT();
    final DoubleMatrix2D a = (DoubleMatrix2D) algebra.multiply(algebra.multiply(u, w), vt);
    checkEquals(A, a);
  }

  @Test
  public void testInvert() {
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    final SVDecompositionResult svd_result = (SVDecompositionResult) result;
    final DoubleMatrix2D u = svd_result.getU();
    final double[] sv = svd_result.getSingularValues();
    final DoubleMatrix2D w = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(sv);
    final DoubleMatrix2D vt = svd_result.getVT();
    final DoubleMatrix2D a = (DoubleMatrix2D) algebra.multiply(algebra.multiply(u, w), vt);
    checkEquals(A, a);
  }

  @Test
  public void testInvert() {
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      } else {
        svinv[i] = 1.0 / sv[i];
      }
    }
    final DoubleMatrix2D winv = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(svinv);
    final DoubleMatrix2D ainv = (DoubleMatrix2D) algebra.multiply(algebra.multiply(v, winv), ut);
    final DoubleMatrix2D identity = (DoubleMatrix2D) algebra.multiply(A, ainv);
    checkIdentity(identity);

  }
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      } else {
        svinv[i] = 1.0 / sv[i];
      }
    }
    final DoubleMatrix2D winv = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(svinv);
    final DoubleMatrix2D ainv = (DoubleMatrix2D) algebra.multiply(algebra.multiply(v, winv), ut);
    final DoubleMatrix2D identity = (DoubleMatrix2D) algebra.multiply(A, ainv);
    checkIdentity(identity);

  }
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        svinv[i] = 1.0 / sv[i];
      }
    }
    final DoubleMatrix2D winv = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(svinv);
    final DoubleMatrix2D ainv = (DoubleMatrix2D) algebra.multiply(algebra.multiply(v, winv), ut);
    final DoubleMatrix2D identity = (DoubleMatrix2D) algebra.multiply(A, ainv);
    checkIdentity(identity);

  }

  private void checkEquals(final DoubleMatrix2D x, final DoubleMatrix2D y) {
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    final LUDecompositionCommons decmp = new LUDecompositionCommons();
    final LUDecompositionResult decmpRes = decmp.evaluate(res.getCovariance());
    final DoubleMatrix2D invCovariance = decmpRes.solve(DoubleMatrixUtils.getIdentityMatrix2D(4));

    double z = ma.getInnerProduct(delta, ma.multiply(invCovariance, delta));
    z = Math.sqrt(z);

    assertTrue(z < 3.0);

    //     System.out.println("chiSqr: " + res.getChiSq());
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    final DoubleMatrix1D solution = new DoubleMatrix1D(new double[] {1.0, 1.0, 0.0, 0.0 });
    final NonLinearLeastSquare ls = new NonLinearLeastSquare();
    final DoubleMatrix2D res = ls.calInverseJacobian(SIGMA, FUNCTION, GRAD, solution);
    //  System.out.println("invese Jac: " + res);

    final DoubleMatrix1D deltaParms = (DoubleMatrix1D) ma.multiply(res, deltaY);
    // System.out.println("delta parms: " + deltaParms);

    final DoubleMatrix1D y = (DoubleMatrix1D) ma.add(Y, deltaY);

    final LeastSquareResults lsRes = ls.solve(X, y, SIGMA, PARAM_FUNCTION, PARAM_GRAD, solution);
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