thanks, that's what I tried but I get a singular matrix exception. I have sent you an email on your mailbox. Julien.
2009/6/1 Luc Maisonobe <[email protected]> > Julien Martin a écrit : > > Hello, > > > > I am trying to put into practice the finite difference method using > > commons math 2.0. I am in reference to the following book: "Options, > > futures and other derivatives" by John Hull. I have attached a gif of > > page 445 of the 6th edition of the book. Note that I assume that the > > discretisation of the differential equation has already being achieved. > > Image attachements are filtered out from messages to this list, so we > cannot see them. > > > > > I am at a loss about how to NUMERICALLY resolve the system of equations > > in section (17.31). As I will have a system of M-1 equations each having > > three terms on the left-hand side member, it is not possible to use a > > square matrix. > > I guess you are trying to solve an overdetermined linear system, i.e. a > system A.X = B with A having M-1 rows (M > 4) and 3 columns. > > Such systems are solved in least square sense. Instead of finding X such > that A.X is exactly B, we find the X value that minimizes || A.X - B ||. > This is done by using the Q.R decomposition. > > Commons-math supports this decomposition. Here is a rough idea of what > you should do: > > RealMatrix a = ...; > RealVector b = ...; > RealVector x = new QRDecompositionImpl(a).getSolver().solve(b); > > The QRDecompositionImpl class is currently in the > org.apache.commons.math.linear.decomposition package. We are currently > discussing on the developers list to decide if this package should > remain or if it should disappear and all the classes be pushed up > directly in the linear package. If we do this, you will only need to > update your import statement once commons-math 2.0 is officially out. > > Luc > > > > > Can anyone please point me to the relevant parts of the commons math API > > and give me clues as to how to numerically resolve the equation system > > please? > > > > Thanks in advance, > > > > Julien. > > > > > > ------------------------------------------------------------------------ > > > > > > --------------------------------------------------------------------- > > To unsubscribe, e-mail: [email protected] > > For additional commands, e-mail: [email protected] > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: [email protected] > For additional commands, e-mail: [email protected] > >
