Re: [Quantlib-dev] Bermudan LLM

[Daniel C. <dan...@gm...>]

2011/8/25 Kakhkhor Abdijalilov <kab...@gm...>

> Longstaff-Schwartz method doesn't need and shouldn't use full SVD.
> LAPACK has thin version of SVD, but Eigen doesn't.
>
> One possible option is to link to standard CBLAS/LAPACK interface. MKL
> 10.3 introduced C-API to LAPACK. The same interface can be built for
> ATLAS, ACML or any other implementation that provides CBLAS/LAPACK
> interface. A high level abstraction layer would separate users from
> low level implementation. This way users would be able to link to
> their favorite CBLAS/LAPACK implementation.
>
>
It has a lot of sense. User will be able to use well optimized CBLAS/LAPACK
(like MKL, Goto or GPU based), and by the way QuantLib binary will be much
smaller.

regards,
daniel



>  Regards,
> Kakhkhor Abdijalilov.
>
>
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