Référence MQL5Méthodes sur les Matrices et les VecteursOpenBLASSingular Value DecompositionSingularValueDecompositionQR

SingularValueDecompositionQR

Singular Value Decomposition, QR algorithm. Considered a classical SVD algorithm (lapack function GESVD).

Computing for type matrix<double>

bool  matrix::SingularValueDecompositionQR(
   ENUM_SVD_Z      jobu,     // how to compute left vectors
   ENUM_SVD_Z      jobv,     // how to compute right vectors
   vector          S,        // vector of computed singular values
   matrix          U,        // matrix of computed left vectors U
   matrix          VT        // transposed matrix of right vectors VT
   );

Computing for type matrix<float>

bool  matrix::SingularValueDecompositionQR(
   ENUM_SVD_Z      jobu,     // how to compute left vectors
   ENUM_SVD_Z      jobv,     // how to compute right vectors
   vectorf         S,        // vector of computed singular values
   matrixf         U,        // matrix of computed left vectors U
   matrixf         VT        // transposed matrix of right vectors VT
   );

Computing for type matrix<complex>

bool  matrix::SingularValueDecompositionQR(
   ENUM_SVD_Z      jobu,     // how to compute left vectors
   ENUM_SVD_Z      jobv,     // how to compute right vectors
   vector          S,        // vector of computed singular values
   matrixc         U,        // matrix of computed left vectors U
   matrixc         VT        // transposed matrix of right vectors VT
   );

Parameters

jobu

[in] ENUM_SVD_Z enumeration value defining how the left singular vectors should be computed.

jobv

[in] ENUM_SVD_Z enumeration value defining how the right singular vectors should be computed.

[out] Vector of singular values.

[out] Matrix of left singular vectors.

[out] Matrix of right singular vectors.

Return Value

Return true if successful, otherwise false in case of an error.

Note

Computation depends on the value of the jobu and jobv parameters.

When set to SVDZ_N, the left (jobu) and right (jobv) vectors are not computed. Singular values are always computed.

When set to SVDZ_A, the full matrices of vectors U (jobu) or VT (jobv) are computed.

With the value SVDZ_S, truncated matrices of vectors U (jobu) or VT (jobv) are computed.

ENUM_SVD_Z

An enumeration defining the way to compute left and right singular vectors.

ID	Description
SVDZ_N	Columns U or rows VT are not computed
SVDZ_A	All M columns of U or all N columns of VT are returned in arrays U and VT
SVDZ_S	The first min(M,N) columns of U or the first min(M,N) columns of VT are returned in arrays U and VT