/// <summary>Initializes a new instance of the <see cref="SapMatrixDecomposer" /> class.
/// </summary>
/// <param name="maximalRank">The maximal rank of the resulting matrix.</param>
/// <param name="multiDimOptmizer">The multi-dimensional </param>
/// <param name="infoOutputDetailLevel">The info-output level of detail.</param>
public SapMatrixDecomposer(int maximalRank, OrdinaryMultiDimOptimizer multiDimOptmizer, InfoOutputDetailLevel infoOutputDetailLevel = InfoOutputDetailLevel.Middle)
: base(infoOutputDetailLevel)
{
if (multiDimOptmizer == null)
{
throw new ArgumentNullException("multiDimOptimizer");
}
m_MultiDimOptimizer = multiDimOptmizer;
m_InitialDecomposer = new EznMatrixDecomposer(maximalRank);
m_Name = new IdentifierString(String.Format("SAP Decomposer; max. rank: {0}", maximalRank));
}
/// <summary>Initializes a new instance of the <see cref="SapMatrixDecomposer" /> class.
/// </summary>
/// <param name="multiDimOptmizer">The multi-dimensional </param>
/// <param name="infoOutputDetailLevel">The info-output level of detail.</param>
public SapMatrixDecomposer(OrdinaryMultiDimOptimizer multiDimOptmizer, InfoOutputDetailLevel infoOutputDetailLevel = InfoOutputDetailLevel.Middle)
: base(infoOutputDetailLevel)
{
if (multiDimOptmizer == null)
{
throw new ArgumentNullException("multiDimOptmizer");
}
m_MultiDimOptimizer = multiDimOptmizer;
m_InitialDecomposer = new EznMatrixDecomposer();
m_Name = new IdentifierString("SAP Decomposer");
}
public void Create_RebonatoJaeckelExample2_BenchmarkResult()
{
int n = 3;
var rawCorrelationMatrix = new DenseMatrix(n, n, new[] { 1.0, 0.9, 0.7, 0.9, 1.0, 0.3, 0.7, 0.3, 1.0 });
var matrixDecomposer = new EznMatrixDecomposer(BasicComponents.Containers.InfoOutputDetailLevel.Full);
PseudoSqrtMatrixDecomposer.State state;
var actual = matrixDecomposer.Create(rawCorrelationMatrix, out state);
int expectedRank = 2;
Assert.That(state.Rank, Is.EqualTo(expectedRank), String.Format("Rank should be {0}, but was {1}.", expectedRank, state.Rank));
var expected = new DenseMatrix(n, state.Rank, new[] { // the values taken from the reference are re-ordered and with a negative sign
-0.06238, -0.50292, 0.67290,
-0.99805, -0.86434, -0.73974
});
Assert.That(actual.Data.Take(actual.RowCount * actual.ColumnCount).ToArray(), Is.EqualTo(expected.Data).AsCollection.Within(1E-4));
}
public void CreateSymmetric_RebonatoJaeckelExample2_BenchmarkResult()
{
int n = 3;
var rawCorrelationMatrix = new SymmetricMatrix(n, new[] { 1.0, 0.9, 0.7, 1.0, 0.3, 1.0 });
var matrixDecomposer = new EznMatrixDecomposer();
int rank;
var actual = matrixDecomposer.Create(rawCorrelationMatrix, out rank);
int expectedRank = 2;
Assert.That(rank, Is.EqualTo(expectedRank), String.Format("Rank should be {0}, but was {1}.", expectedRank, rank));
var expected = new DenseMatrix(n, rank, new[] { // the values taken from the reference are re-ordered and same(!) columns are with a negative sign
-0.06238, -0.50292, 0.67290,
0.99805, 0.86434, 0.73974
});
Assert.That(actual.Data.Take(actual.RowCount * actual.ColumnCount).ToArray(), Is.EqualTo(expected.Data).AsCollection.Within(1E-4));
}
public void Create_RebonatoJaeckelExample1_BenchmarkResult()
{
int n = 3;
var rawCorrelationMatrix = new DenseMatrix(n, n, new[] {
1.0, 0.9, 0.7,
0.9, 1.0, 0.4,
0.7, 0.4, 1.0
});
var matrixDecomposer = new EznMatrixDecomposer();
PseudoSqrtMatrixDecomposer.State state;
var actual = matrixDecomposer.Create(rawCorrelationMatrix, out state);
Assert.That(state.Rank, Is.EqualTo(n), String.Format("Rank should be {0}, but was {1}.", n, state.Rank));
var expected = new DenseMatrix(n, n, new[] { // the values taken from the reference are re-ordered with a negative sign
0.13192, -0.10021, -0.05389,
-0.08718, -0.45536, 0.63329,
-0.98742, -0.88465, -0.77203
});
Assert.That(actual.Data, Is.EqualTo(expected.Data).AsCollection.Within(1E-4));
}