QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
SparseILUPreconditioner Class Reference

#include <ql/math/matrixutilities/sparseilupreconditioner.hpp>

Public Member Functions

 SparseILUPreconditioner (const SparseMatrix &A, Integer lfil=1)
 
const SparseMatrix & L () const
 
const SparseMatrix & U () const
 
Disposable< Arrayapply (const Array &b) const
 

Detailed Description

References: Saad, Yousef. 1996, Iterative methods for sparse linear systems, http://www-users.cs.umn.edu/~saad/books.html