Posted by
Dirk Eddelbuettel on
Aug 24, 2011; 3:50pm
URL: http://quantlib.414.s1.nabble.com/Bermudan-LLM-tp9645p9652.html
On 24 August 2011 at 17:29, Daniel Cegiełka wrote:
|
| 2011/8/24 Dirk Eddelbuettel <
[hidden email]>
|
|
| On 24 August 2011 at 16:17, Ferdinando Ametrano wrote:
| | Hi Kakhkhor
| |
| | I apologize, I completely misinterpreted your question, my fault.
| |
| | As you wrote ATLAS would be problematic because in Windows it is
| | available only if using cygwin, as far as I know. Besides it is plain
| | C, isn't it?
|
| Atlas is one of several accelerated implementation of the BLAS. It can
| certainly be compiled with different Windows toolchains; there is eg a
| binary
| you can download for R which was built with MinGW (ie very much not Cygwin)
| as R on Windows requires the MinGW toolchain.
|
| Commercial software (Matlab comes to mind) often bundles its own
| accelerated
| BLAS; Atlas happens to have the most liberal license (but Goto is now
| 'Open'
| too as the original author moved on).
|
|
| Goto is probably one of the best implementations of BALS. Unfortunately, it is
| no longer being actively developed by Kazushige Goto. I give the address where
| you can find fresh updates.
|
|
http://prs.ism.ac.jp/~nakama/SurviveGotoBLAS2/That are 'just' maintenance updates by Ei-Ji Nakama. The new and more
ambitious project I was referring to is on github:
https://github.com/xianyi/OpenBLASbut I have not tried it.
Dirk
|
|
| | What about using uBLAS, the C++ boost implementation?
|
| AFAICT it is a pain to use, and the numerics wrapper for actual linear
| algrebra was once again being rewritten when I last checked. It also falls
| back to using a BLAS implementations. FWIW I never managed to even cook
| up a
| simple linear regression 'from first principles' (eg using a SVD) with
| uBlas.
|
| An alternative could be provided by Eigen (
http://eigen.tuxfamily.org)
| which
| is very clever, very fast, very templated C++ --- and does not use BLAS!
| But
| it would add another build dependency which is a clear downside.
|
|
| I also thought about Eigen... but like you wrote, it means
| another dependency.
|
| Best regards,
| daniel
|
|
|
|
|
| Another somewhat lighter alternative is Armadillo (
http://arma.sf.net).
| Also
| templated, can use BLAS and a little simpler than Eigen. I quite like it --
| and have written an package 'RcppArmadillo' that makes it a snap to use
| this
| from R, leveraging our Rcpp package also used to tie [parts of] QuantLib to
| R
| via RQuantLib.
|
| [ From all that, I have a number of competing 'FastLm' implementations of
| linear model fits (ie. ordinary least squares) using Armadillo, Eigen and
| GSL. Armadillo does fine, Eigen does better and GSL is slowest. My blog
| had
| a few posts on that. ]
|
| | As you understand moving to uBLAS would be a major change anyway and
| | to do it in a backward compatible way (i.e. not dropping support for
| | QuantLib::Matrix, QuantLib::Array, etc.) would be even more
| | challenging, so Luigi opinion on this will rule.
| | Unfortunately as he gets older he's more and more conservative ;-)
| |
| | I for one would support a transition to uBLAS and removing all the
| | QuantLib code that could be replaced by boost (e.g. math and stat
| | functions), maybe on a QuantLib 2.x branch which would be not backward
| | compatible with the 1.x branch
|
| That is probably a good design decision in the medium term but you may want
| to really check viability of some of the required operations first.
|
| Hth, Dirk
|
| | ciao -- Nando
| |
| | On Wed, Aug 24, 2011 at 12:37 AM, Kakhkhor Abdijalilov
| | <
[hidden email]> wrote:
| | > Longstaff-Schwartz method for Bermudan LLM requires OLS for every
| | > early exercise opportunity, not just once.
| | > I checked "Numerical recipes", Demel's and Golub's books and all
| | > recommend not to use normal equations to solve OLS. Equity version of
| | > Longstaff-Schwartz in QuantLib uses SVD too.
| | >
| | > The cost of SVD scales as SAMPLES*FACTORS^3, but the cost of path
| | > generation scales as SAMPLES*FACTORS^2. SVD doesn't scale well as more
| | > CPU cores are used, but path generation should scale almost perfectly.
| | >
| | > Regards,
| | > Kakhkhor Abdijalilov.
| | >
| | >
| ------------------------------------------------------------------------------
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| | >
[hidden email]
| | >
https://lists.sourceforge.net/lists/listinfo/quantlib-dev| | >
| |
| |
| ------------------------------------------------------------------------------
| | EMC VNX: the world's simplest storage, starting under $10K
| | The only unified storage solution that offers unified management
| | Up to 160% more powerful than alternatives and 25% more efficient.
| | Guaranteed.
http://p.sf.net/sfu/emc-vnx-dev2dev| | _______________________________________________
| | QuantLib-dev mailing list
| |
[hidden email]
| |
https://lists.sourceforge.net/lists/listinfo/quantlib-dev|
| --
| Two new Rcpp master classes for R and C++ integration scheduled for
| New York (Sep 24) and San Francisco (Oct 8), more details are at
|
http://dirk.eddelbuettel.com/blog/2011/08/04#| rcpp_classes_2011-09_and_2011-10
|
http://www.revolutionanalytics.com/products/training/public/| rcpp-master-class.php
|
| ------------------------------------------------------------------------------
| EMC VNX: the world's simplest storage, starting under $10K
| The only unified storage solution that offers unified management
| Up to 160% more powerful than alternatives and 25% more efficient.
| Guaranteed.
http://p.sf.net/sfu/emc-vnx-dev2dev| _______________________________________________
| QuantLib-dev mailing list
|
[hidden email]
|
https://lists.sourceforge.net/lists/listinfo/quantlib-dev|
|
--
Two new Rcpp master classes for R and C++ integration scheduled for
New York (Sep 24) and San Francisco (Oct 8), more details are at
http://dirk.eddelbuettel.com/blog/2011/08/04#rcpp_classes_2011-09_and_2011-10http://www.revolutionanalytics.com/products/training/public/rcpp-master-class.php------------------------------------------------------------------------------
EMC VNX: the world's simplest storage, starting under $10K
The only unified storage solution that offers unified management
Up to 160% more powerful than alternatives and 25% more efficient.
Guaranteed.
http://p.sf.net/sfu/emc-vnx-dev2dev_______________________________________________
QuantLib-dev mailing list
[hidden email]
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