Re: [Quantlib-dev] Bermudan LLM

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2011/8/24 Dirk Eddelbuettel <ed...@de...>

>
> On 24 August 2011 at 16:17, Ferdinando Ametrano wrote:
> | 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?
>
> Atlas is one of several accelerated implementation of the BLAS.  It can
> certainly be compiled with different Windows toolchains; there is eg a
> binary
> you can download for R which was built with MinGW (ie very much not Cygwin)
> as R on Windows requires the MinGW toolchain.
>
> Commercial software (Matlab comes to mind) often bundles its own
> accelerated
> BLAS; Atlas happens to have the most liberal license (but Goto is now
> 'Open'
> too as the original author moved on).
>

Goto is probably one of the best implementations of BALS. Unfortunately, it
is no longer being actively developed by Kazushige Goto. I give the address
where you can find fresh updates.

http://prs.ism.ac.jp/~nakama/SurviveGotoBLAS2/

>
> | What about using uBLAS, the C++ boost implementation?
>
> AFAICT it is a pain to use, and the numerics wrapper for actual linear
> algrebra was once again being rewritten when I last checked. It also falls
> back to using a BLAS implementations.  FWIW I never managed to even cook up
> a
> simple linear regression 'from first principles' (eg using a SVD) with
> uBlas.
>
> An alternative could be provided by Eigen (http://eigen.tuxfamily.org)
> which
> is very clever, very fast, very templated C++ --- and does not use BLAS!
> But
> it would add another build dependency which is a clear downside.
>

I also thought about Eigen... but like you wrote, it means
another dependency.

Best regards,
daniel

>
> Another somewhat lighter alternative is Armadillo (http://arma.sf.net).
> Also
> templated, can use BLAS and a little simpler than Eigen. I quite like it --
> and have written an package 'RcppArmadillo' that makes it a snap to use
> this
> from R, leveraging our Rcpp package also used to tie [parts of] QuantLib to
> R
> via RQuantLib.
>
> [ From all that, I have a number of competing 'FastLm' implementations of
> linear model fits (ie. ordinary least squares) using Armadillo, Eigen and
> GSL.  Armadillo does fine, Eigen does better and GSL is slowest. My blog
> had
> a few posts on that. ]
>
> | 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
>
> That is probably a good design decision in the medium term but you may want
> to really check viability of some of the required operations first.
>
> Hth,  Dirk
>
> | 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.
> | >
> | >
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> | >
> |
> |
> ------------------------------------------------------------------------------
> | 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
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>
> --
> Two new Rcpp master classes for R and C++ integration scheduled for
> New York (Sep 24) and San Francisco (Oct 8), more details are at
>
> http://dirk.eddelbuettel.com/blog/2011/08/04#rcpp_classes_2011-09_and_2011-10
>
> http://www.revolutionanalytics.com/products/training/public/rcpp-master-class.php
>
>
> ------------------------------------------------------------------------------
> 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
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