Re: Bermudan LLM

Posted by Kakhkhor Abdijalilov on Aug 24, 2011; 11:01pm
URL: http://quantlib.414.s1.nabble.com/Bermudan-LLM-tp9645p9653.html

Longstaff-Schwartz method doesn't need and shouldn't use full SVD.
LAPACK has thin version of SVD, but Eigen doesn't.

One possible option is to link to standard CBLAS/LAPACK interface. MKL
10.3 introduced C-API to LAPACK. The same interface can be built for
ATLAS, ACML or any other implementation that provides CBLAS/LAPACK
interface. A high level abstraction layer would separate users from
low level implementation. This way users would be able to link to
their favorite CBLAS/LAPACK implementation.

Regards,
Kakhkhor Abdijalilov.

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