JQuantLib

Fix CholeskyDecomposition and EigenvalueDecomposition

Bug #1209831 reported by Richard Gomes
6
This bug affects 1 person
Affects Status Importance Assigned to Milestone
JQuantLib
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Medium
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Bug Description

Please have a look at test cases in MatrixTest

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Relationships
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related to http://bugs.launchpad.net/bugs/jquantlib-232
related to http://bugs.launchpad.net/bugs/jquantlib-511
child of http://bugs.launchpad.net/bugs/jquantlib-415

Tags: translation
Revision history for this message
Richard Gomes (frgomes) wrote :

Kicked to v0.1.4

Let me know if there are dependencies in the current v0.1.3 which requires we solve this issue before the v0.1.3 release.

Thanks

Richard Gomes

Revision history for this message
Richard Gomes (frgomes) wrote :

This issue is partially solved.

In spite test cases pass, I wrongly adapted code from JAMA whilst QuantLib has it's own implementation we should have taken instead.

See files ql/math/matrixutilities/choleskydecomposition.*pp

This issue cannot be closed unless we translate from the correct source.

Revision history for this message
Q Boiler (q.boiler) wrote :

Dropping this issue back into the pool.

Revision history for this message
Richard Gomes (frgomes) wrote :

Let's consider EJML too.
See issue 511.

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