com.opengamma.strata.math.impl.rootfinding.EigenvaluePolynomialRootFinder Maven / Gradle / Ivy
/*
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.rootfinding;
import org.apache.commons.math3.linear.Array2DRowRealMatrix;
import org.apache.commons.math3.linear.EigenDecomposition;
import org.apache.commons.math3.linear.RealMatrix;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.math.impl.function.RealPolynomialFunction1D;
/**
* The eigenvalues of a matrix $\mathbf{A}$ are the roots of the characteristic
* polynomial $P(x) = \mathrm{det}[\mathbf{A} - x\mathbb{1}]$. For a
* polynomial
* $$
* \begin{align*}
* P(x) = \sum_{i=0}^n a_i x^i
* \end{align*}
* $$
* an equivalent polynomial can be constructed from the characteristic polynomial of the matrix
* $$
* \begin{align*}
* A =
* \begin{pmatrix}
* -\frac{a_{m-1}}{a_m} & -\frac{a_{m-2}}{a_m} & \cdots & -\frac{a_{1}}{a_m} & -\frac{a_{0}}{a_m} \\
* 1 & 0 & \cdots & 0 & 0 \\
* 0 & 1 & \cdots & 0 & 0 \\
* \vdots & & \cdots & & \vdots \\
* 0 & 0 & \cdots & 1 & 0
* \end{pmatrix}
* \end{align*}
* $$
* and so the roots are found by calculating the eigenvalues of this matrix.
*/
public class EigenvaluePolynomialRootFinder implements Polynomial1DRootFinder {
@Override
public Double[] getRoots(RealPolynomialFunction1D function) {
ArgChecker.notNull(function, "function");
double[] coeffs = function.getCoefficients();
int l = coeffs.length - 1;
double[][] hessianDeref = new double[l][l];
for (int i = 0; i < l; i++) {
hessianDeref[0][i] = -coeffs[l - i - 1] / coeffs[l];
for (int j = 1; j < l; j++) {
hessianDeref[j][i] = 0;
if (i != l - 1) {
hessianDeref[i + 1][i] = 1;
}
}
}
RealMatrix hessian = new Array2DRowRealMatrix(hessianDeref);
double[] d = new EigenDecomposition(hessian).getRealEigenvalues();
Double[] result = new Double[d.length];
for (int i = 0; i < d.length; i++) {
result[i] = d[i];
}
return result;
}
}