Skip to content

Commit

Permalink
Features:
Browse files Browse the repository at this point in the history
	- Numerical Linear Algebra SOR #1 (43, 44, 45)
	- Numerical Linear Algebra SOR #2 (46, 47, 48)
	- Numerical Linear Algebra Diagonal Matrix (49, 50)
	- Linear Algebra Strictly Lower Triangular (51, 52)
	- Linear Algebra Strictly Upper Triangular (53, 54)
	- Numerical Linear Algebra SOR Constructor (55, 56, 57)
	- Numerical Linear Algebra SOR Standard (58, 59, 60)


Bug Fixes/Re-organization:

Samples:

IdeaDRIP:

	- Tridiagonal Matrix Algorithm - Variants (1-42)
  • Loading branch information
Lakshmik committed Jun 15, 2024
1 parent ba602d9 commit d0298a1
Show file tree
Hide file tree
Showing 5 changed files with 270 additions and 0 deletions.
11 changes: 11 additions & 0 deletions ReleaseNotes/12_25_2023.txt
Original file line number Diff line number Diff line change
@@ -0,0 +1,11 @@

Features:

Bug Fixes/Re-organization:

Samples:

IdeaDRIP:

- Tridiagonal Matrix Algorithm - Derivation (1-36)
- Tridiagonal Matrix Algorithm - Variants (37-60)
10 changes: 10 additions & 0 deletions ReleaseNotes/12_26_2023.txt
Original file line number Diff line number Diff line change
@@ -0,0 +1,10 @@

Features:

Bug Fixes/Re-organization:

Samples:

IdeaDRIP:

- Tridiagonal Matrix Algorithm - Variants (1-60)
19 changes: 19 additions & 0 deletions ReleaseNotes/12_27_2023.txt
Original file line number Diff line number Diff line change
@@ -0,0 +1,19 @@

Features:

- Numerical Linear Algebra SOR #1 (43, 44, 45)
- Numerical Linear Algebra SOR #2 (46, 47, 48)
- Numerical Linear Algebra Diagonal Matrix (49, 50)
- Linear Algebra Strictly Lower Triangular (51, 52)
- Linear Algebra Strictly Upper Triangular (53, 54)
- Numerical Linear Algebra SOR Constructor (55, 56, 57)
- Numerical Linear Algebra SOR Standard (58, 59, 60)


Bug Fixes/Re-organization:

Samples:

IdeaDRIP:

- Tridiagonal Matrix Algorithm - Variants (1-42)
Binary file modified ScheduleSheet.xlsx
Binary file not shown.
Original file line number Diff line number Diff line change
@@ -0,0 +1,230 @@

package org.drip.numerical.linearalgebra;

/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/

/*!
* Copyright (C) 2025 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* graph builder/navigator, and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Graph Algorithm
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/

/**
* <i>SuccessiveOverRelaxation</i> implements the SOR and the SSOR schemes. The References are:
*
* <br><br>
* <ul>
* <li>
* Greenbaum, A. (1997): <i>Iterative Methods for Solving Linear Systems</i> <b>Society for
* Industrial and Applied Mathematics</b> Philadelphia, PA
* </li>
* <li>
* Hackbusch, W. (2016): <i>Iterative Solution of Large Sparse Systems of Equations</i>
* <b>Spring-Verlag</b> Berlin, Germany
* </li>
* <li>
* Wikipedia (2023): Symmetric Successive Over-Relaxation
* https://en.wikipedia.org/wiki/Symmetric_successive_over-relaxation
* </li>
* <li>
* Wikipedia (2024): Successive Over-Relaxation
* https://en.wikipedia.org/wiki/Successive_over-relaxation
* </li>
* <li>
* Young, D. M. (1950): <i>Iterative methods for solving partial difference equations of elliptical
* type</i> <b>Harvard University</b> Cambridge, MA
* </li>
* </ul>
*
* It provides the following functionality:
*
* <ul>
* <li>Construct the R<sup>1</sup> To R<sup>1</sup> Bessel First Kind Frobenius Summation Series</li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/numerical/README.md">Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/numerical/linearalgebra/README.md">Linear Algebra Matrix Transform Library</a></li>
* </ul>
* <br><br>
*
* @author Lakshmi Krishnamurthy
*/

public class SuccessiveOverRelaxation
{
private double[][] _diagonalMatrix = null;
private double[][] _strictlyLowerTriangularMatrix = null;
private double[][] _strictlyUpperTriangularMatrix = null;

/**
* Construct a Standard <i>SuccessiveOverRelaxation</i> Instance from the Square Matrix
*
* @param squareMatrix Square Matrix
*
* @return <i>SuccessiveOverRelaxation</i> Instance
*/

public static final SuccessiveOverRelaxation Standard (
final double[][] squareMatrix)
{
try {
int size = squareMatrix.length;
double[][] diagonalMatrix = new double[size][size];
double[][] strictlyLowerTriangularMatrix = new double[size][size];
double[][] strictlyUpperTriangularMatrix = new double[size][size];

for (int i = 0; i < size; ++i) {
for (int j = 0; j < size; ++j) {
if (i == j) {
strictlyLowerTriangularMatrix[i][j] = 0.;
strictlyUpperTriangularMatrix[i][j] = 0.;
diagonalMatrix[i][j] = squareMatrix[i][j];
} else if (i < j) {
diagonalMatrix[i][j] = 0.;
strictlyLowerTriangularMatrix[i][j] = 0.;
strictlyUpperTriangularMatrix[i][j] = squareMatrix[i][j];
} else if (i > j) {
diagonalMatrix[i][j] = 0.;
strictlyUpperTriangularMatrix[i][j] = 0.;
strictlyLowerTriangularMatrix[i][j] = squareMatrix[i][j];
}
}
}

return new SuccessiveOverRelaxation (
diagonalMatrix,
strictlyLowerTriangularMatrix,
strictlyUpperTriangularMatrix
);
} catch (Exception e) {
e.printStackTrace();
}

return null;
}

/**
* <i>SuccessiveOverRelaxation</i> Constructor
*
* @param diagonalMatrix Diagonal Matrix
* @param strictlyLowerTriangularMatrix Strictly Lower Triangular Matrix
* @param strictlyUpperTriangularMatrix Strictly Upper Triangular Matrix
*
* @throws Exception Thrown if the Inputs are Invalid
*/

public SuccessiveOverRelaxation (
final double[][] diagonalMatrix,
final double[][] strictlyLowerTriangularMatrix,
final double[][] strictlyUpperTriangularMatrix)
throws Exception
{
if (null == (_diagonalMatrix = diagonalMatrix) ||
null == (_strictlyLowerTriangularMatrix = strictlyLowerTriangularMatrix) ||
null == (_strictlyUpperTriangularMatrix = strictlyUpperTriangularMatrix))
{
throw new Exception ("SuccessiveOverRelaxation Construction => Invalid Inputs");
}
}

/**
* Retrieve the Diagonal Matrix
*
* @return Diagonal Matrix
*/

public double[][] diagonalMatrix()
{
return _diagonalMatrix;
}

/**
* Retrieve the Strictly Lower Triangular Matrix
*
* @return Strictly Lower Triangular Matrix
*/

public double[][] strictlyLowerTriangularMatrix()
{
return _strictlyLowerTriangularMatrix;
}

/**
* Retrieve the Strictly Upper Triangular Matrix
*
* @return Strictly Upper Triangular Matrix
*/

public double[][] strictlyUpperTriangularMatrix()
{
return _strictlyUpperTriangularMatrix;
}
}

0 comments on commit d0298a1

Please sign in to comment.