Re: [Quantlib-dev] new linear algebra library and memory management improvement

[Klaus S. <kla...@fr...>]

Hi=20

I've checked the second solution by defining

typedef boost::numeric::ublas::vector<double> Array;
typedef boost::numeric::ublas::matrix<double> Matrix;

and porting the rest of the QuantLib. (This breaks quite a lot interfaces=20
within the QL;-). The resulting performance is disappointing. Using normal=
=20
compiler switches the ublas version is 20% slower than the original=20
implementation. When using more aggressive compiler optimization switches t=
he=20
ublas can only match the original performance but is not faster.

=46YI: I got 10% more performance for the test-suite without changing inter=
faces=20
by using the slightly improved version of array.hpp and matrix.hpp enclosed=
=20
in the attachment (I haven't checked this version too much;-)

cheers=20
 Klaus

=20

On Thursday 22 June 2006 5:07 pm, Fran=E7ois du Vignaud wrote:
> Hi all,
>  I'm hesitating between two solutions for the uBlas migration : Embedding
> all uBlas code in the existing Array and Matrix classes. The main advanta=
ge
> is that no other file would be altered. However it seems really tedious to
> expose all the nice features of uBlas using this architecture. Replacing
> completely all Array and Matrix in the QuantLib code.
> I tend to prefer the second solution because it is much neater in my
> opinion even if it is not the simplest one in the short run. I'm aware th=
at
> uBlas is not the most efficient linear algebra library available, however
> profiling shows that it is sufficient for the LFM case (sheer linera
> algebra operations accounts for a small part of the computation time). Mo=
re
> complex operations can be performed using ATLAS through uBlas bindings. A=
ny
> suggestion/advice are more than  welcome.
>  Thanks for your attention,
> best regards,
> Fran=E7ois