Posted by
Klaus Spanderen-2 on
Aug 02, 2016; 7:06pm
URL: http://quantlib.414.s1.nabble.com/Sqrt-of-large-correlation-matrix-tp17596p17632.html
Hi
I guess the number of non-zero eigenvalues is much smaller than 4000. There
are good routines available to calculate the largest n eigenvalues /
eigenvectors and these routines perform much better than trying to calculate
all eigenvalues suppose most of them are zero. You might want to try LAPACK or
ARPACK. IMO QuantLib does not offer these alogrithms.
regards
Klaus
On Montag, 1. August 2016 06:22:31 CEST ian_dfw wrote:
> Thanks for your comment. Reason I was doing x4000 issues is that we are
> trying to do Monte Carlo simulation on most of traded issues. Potentially
> the number would be much larger than 4000. For the rank reduction, I tried
> 0.95 but not much improvement.
> So right now I am thinking some dimension reduction like PCA.
>
>
>
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