From: Ferdinando A. <na...@am...> - 2011-08-24 14:17:46
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Hi Kakhkhor I apologize, I completely misinterpreted your question, my fault. As you wrote ATLAS would be problematic because in Windows it is available only if using cygwin, as far as I know. Besides it is plain C, isn't it? What about using uBLAS, the C++ boost implementation? As you understand moving to uBLAS would be a major change anyway and to do it in a backward compatible way (i.e. not dropping support for QuantLib::Matrix, QuantLib::Array, etc.) would be even more challenging, so Luigi opinion on this will rule. Unfortunately as he gets older he's more and more conservative ;-) I for one would support a transition to uBLAS and removing all the QuantLib code that could be replaced by boost (e.g. math and stat functions), maybe on a QuantLib 2.x branch which would be not backward compatible with the 1.x branch ciao -- Nando On Wed, Aug 24, 2011 at 12:37 AM, Kakhkhor Abdijalilov <kab...@gm...> wrote: > Longstaff-Schwartz method for Bermudan LLM requires OLS for every > early exercise opportunity, not just once. > I checked "Numerical recipes", Demel's and Golub's books and all > recommend not to use normal equations to solve OLS. Equity version of > Longstaff-Schwartz in QuantLib uses SVD too. > > The cost of SVD scales as SAMPLES*FACTORS^3, but the cost of path > generation scales as SAMPLES*FACTORS^2. SVD doesn't scale well as more > CPU cores are used, but path generation should scale almost perfectly. > > Regards, > Kakhkhor Abdijalilov. > > ------------------------------------------------------------------------------ > EMC VNX: the world's simplest storage, starting under $10K > The only unified storage solution that offers unified management > Up to 160% more powerful than alternatives and 25% more efficient. > Guaranteed. http://p.sf.net/sfu/emc-vnx-dev2dev > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |