Tridiagonal Operator::SOR

Posted by John Maiden on
URL: http://quantlib.414.s1.nabble.com/Tridiagonal-Operator-SOR-tp1085.html

I tried using the SOR operator that comes with the
tridiagonal operator class, and get the result "NaN"
if I use a positive value for the tolerance. Any ideas
on what is going wrong? If I use a negative value,
then the SOR operator doesn't do much (since it's easy
to get out of the for loop). I know that the tridiagonal
operator is working well, since I use it in a
StandardFiniteDifferenceModel, and the result produced
after a rollback makes sense.


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