MQL5 ReferenceMatrix and Vector Methods 

Matrices and vectors

A matrix is a two-dimensional array of double, float, or complex numbers.

A vector is a one-dimensional array of double, float, or complex numbers. The vector has no indication of whether it is vertical or horizontal. It is determined from the use context. For example, the vector operation Dot assumes that the left vector is horizontal and the right one is vertical. If the type indication is required, one-row or one-column matrices can be used. However, this is generally not necessary.

Matrices and vectors allocate memory for data dynamically. In fact, matrices and vectors are objects that have certain properties, such as the type of data they contain and dimensions. Matrix and vector properties can be obtained using methods such as vector_a.Size(), matrix_b.Rows(), vector_c.Norm(), matrix_d.Cond() and others. Any dimension can be changed.

When creating and initializing matrices, so-called static methods are used (these are like static methods of a class). For example: matrix::Eye(), matrix::Identity(), matrix::Ones(), vector::Ones(), matrix: :Zeros(), vector::Zeros(), matrix::Full(), vector::Full(), matrix::Tri().

At the moment, matrix and vector operations do not imply the use of the complex data type, as this development direction has not yet been completed.

All matrix and vector methods are listed below in alphabetical order.

Function

Action

Category

Activation

Compute activation function values and write them to the passed vector/matrix.

Machine learning

ArgMax

Return the index of the maximum value

Statistics

ArgMin

Return the index of the minimum value

Statistics

ArgSort

Return the sorted index

Manipulations

Average

Compute the weighted average of matrix/vector values

Statistics

Cholesky

Compute the Cholesky decomposition

Transformations

Clip

Limits the elements of a matrix/vector to a given range of valid values

Manipulations

Col

Return a column vector. Write a vector to the specified column.

Manipulations

Cols

Return the number of columns in a matrix

Features

Compare

Compare the elements of two matrices/vectors with the specified precision

Manipulations

CompareByDigits

Compare the elements of two matrices/vectors with the significant figures precision

Manipulations

Cond

Compute the condition number of a matrix

Features

Convolve

Return the discrete, linear convolution of two vectors

Products

Copy

Return a copy of the given matrix/vector

Manipulations

CorrCoef

Compute the Pearson correlation coefficient (linear correlation coefficient)

Products

Correlate

Compute the cross-correlation of two vectors

Products

Cov

Compute the covariance matrix

Products

CumProd

Return the cumulative product of matrix/vector elements, including those along the given axis

Statistics

CumSum

Return the cumulative sum of matrix/vector elements, including those along the given axis

Statistics

Derivative

Compute activation function derivative values and write them to the passed vector/matrix

Machine learning

Det

Compute the determinant of a square invertible matrix

Features

Diag

Extract a diagonal or construct a diagonal matrix

Manipulations

Dot

Dot product of two vectors

Products

Eig

Computes the eigenvalues and right eigenvectors of a square matrix

Transformations

EigVals

Computes the eigenvalues of a general matrix

Transformations

Eye

Return a matrix with ones on the diagonal and zeros elsewhere

Initialization

Fill

Fill an existing matrix or vector with the specified value

Initialization

Flat

Access a matrix element through one index instead of two

Manipulations

Full

Create and return a new matrix filled with the given value

Initialization

Hsplit

Split a matrix horizontally into multiple submatrices. Same as Split with axis=0

Manipulations

Identity

Create an identity matrix of the specified size

Initialization

Init

Matrix or vector initialization

Initialization

Inner

Inner product of two matrices

Products

Inv

Compute the multiplicative inverse of a square invertible matrix by the Jordan-Gauss method

Solutions

Kron

Return Kronecker product of two matrices, matrix and vector, vector and matrix or two vectors

Products

Loss

Compute loss function values and write them to the passed vector/matrix

Machine learning

LstSq

Return the least-squares solution of linear algebraic equations (for non-square or degenerate matrices)

Solutions

LU

Implement an LU decomposition of a matrix: the product of a lower triangular matrix and an upper triangular matrix

Transformations

LUP

Implement an LUP factorization with partial permutation, which refers to LU decomposition with row permutations only: PA=LU

Transformations

MatMul

Matrix product of two matrices

Products

Max

Return the maximum value in a matrix/vector

Statistics

Mean

Compute the arithmetic mean of element values

Statistics

Median

Compute the median of the matrix/vector elements

Statistics

Min

Return the minimum value in a matrix/vector

Statistics

Norm

Return matrix or vector norm

Features

Ones

Create and return a new matrix filled with ones

Initialization

Outer

Compute the outer product of two matrices or two vectors

Products

Percentile

Return the specified percentile of values of matrix/vector elements or elements along the specified axis

Statistics

PInv

Compute the pseudo-inverse of a matrix by the Moore-Penrose method

Solutions

Power

Raise a square matrix to an integer power

Products

Prod

Return the product of matrix/vector elements, which can also be executed for the given axis

Statistics

Ptp

Return the range of values of a matrix/vector or of the given matrix axis

Statistics

QR

Compute the qr factorization of a matrix

Transformations

Quantile

Return the specified quantile of values of matrix/vector elements or elements along the specified axis

Statistics

Rank

Return matrix rank using the Gaussian method

Features

RegressionMetric

Compute the regression metric as the deviation error from the regression line constructed on the specified data array

Statistics

Reshape

Change the shape of a matrix without changing its data

Manipulations

Resize

Return a new matrix with a changed shape and size

Manipulations

Row

Return a row vector. Write the vector to the specified row

Manipulations

Rows

Return the number of rows in a matrix

Features

Size

Return the size of vector

Features

SLogDet

Compute the sign and logarithm of the determinant of an matrix

Features

Solve

Solve a linear matrix equation or a system of linear algebraic equations

Solutions

Sort

Sort by place

Manipulations

Spectrum

Compute spectrum of a matrix as the set of its eigenvalues from the product AT*A

Features

Split

Split a matrix into multiple submatrices

Manipulations

Std

Return the standard deviation of values of matrix/vector elements or elements along the specified axis

Statistics

Sum

Return the sum of matrix/vector elements, which can also be executed for the given axis (axes)

Statistics

SVD

Singular value decomposition

Transformations

SwapCols

Swap columns in a matrix

Manipulations

SwapRows

Swap rows in a matrix

Manipulations

Trace

Return the sum along diagonals of the matrix

Features

Transpose

Transpose (swap the axes) and return the modified matrix

Manipulations

Tri

Construct a matrix with ones on a specified diagonal and below, and zeros elsewhere

Initialization

TriL

Return a copy of a matrix with elements above the k-th diagonal zeroed. Lower triangular matrix

Manipulations

TriU

Return a copy of a matrix with the elements below the k-th diagonal zeroed. Upper triangular matrix

Manipulations

Var

Compute the variance of values of matrix/vector elements

Statistics

Vsplit

Split a matrix vertically into multiple submatrices. Same as Split with axis=1

Manipulations

Zeros

Create and return a new matrix filled with zeros

Initialization