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Re: fd operators update

Posted by Klaus Spanderen-2 on Apr 21, 2013; 11:39am
URL: http://quantlib.414.s1.nabble.com/fd-operators-update-tp14224p14226.html

Hi Peter

 

the rational behind this method was to get an easy way to create sparse matrices out of a FdmLinearOpComposite or more precise to get an

boost::numeric::ublas::compressed_matrix<Real> object. This class can then be used as an interface to highly efficient sparse matrix library like MKL or cusip. I have seen significant performance improvements while moving to a "tailor-made" sparse matrix library.

 

But looking at your posting I now realize that I've broken backwards compatibility and we should define

 

virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const {

QL_FAIL("method not implemented");

}

 

Then you don't have implement a method to provide functionality you are not interest in. What do you think?

 

regards

Klaus

 

 

On Saturday, April 20, 2013 08:25:24 PM Peter Caspers wrote:

> Hi,

>

> when updating to the current trunk I notice that my operators do not

> compile any more due to an extended interface of FdmLinearOpComposite.

> Seems I have to implement

>

> virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const=0;

>

> and looking at other operators I think I should return a vector of

> SparseMatrix'es corresponding to

>

> apply_direction(0,...)

> apply_direction(1,...)

> ...

> apply_direction(n,...)

> apply_mixed(...)

>

> , yes ? What is the improvement when using UBLAS ? Sorry in case I

> overlooked any documentation on this.

>

> thank you

> Peter

>

>

>

>

>

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