Linear Algebra and Least Squares

Posted by Neil P Firth on Jul 07, 2003; 3:25pm
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2598p2599.html

Hi,

I was wondering what the thinking behind the NonLinearLeastSquares class
was. I am thinking about implementing Least Square Monte Carlo so will
need some Least Squares routines, representations for the basis functions,
and probably matrix SVD functions. What is the quantlib view on
implementing linear algebra, and LAPACK ports?

Thanks,
Neil

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  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  [hidden email]
  http://www.maths.ox.ac.uk/~firth
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