[Quantlib-dev] Least Squares Monte Carlo - memory leak

[Neil P F. <fi...@ma...>]

Hi,

Thanks for fixing the BinomialEngine for Americans.

Having done most of my programming in Java I'm not too tidy on memory
management... There are only a couple of new's called, and they are not in
the loops. I guess the obvious place to look is the SVD class, as a lot of
the work is done there, and there are many containers used, but they
should all be on the stack and disposed of after each timestep.

I was wondering whether I should be using Disposable<> somewhere..

Looking at the code again, in SVD::getV() the Matrix is passed in by
reference, but another Matrix is constructed inside the function. If the
least squares problem is rank deficient the the matrices may be different
sizes.

It may also be due to my naive port of the TNT::Array2D to Math::Matrix.

Have you a tool like OptimizeIt for Java, that will show where the problem
is?

Hope that this is some help...

Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  fi...@ma...
  http://www.maths.ox.ac.uk/~firth
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