Find papers and books about CppAD #153
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I am trying to combine CppAD with QuantLib, and it works well for some pricing engines. Now, I have to deal with some advanced topics about AAD, for instance, implementing special functions and matrix factorization algorithms (LU, QR, SVD and Cholesky) by atomic functions. I need know more details about CppAD. So, are there papers or books about the architacture and design of CppAD? |
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Matrix factorization is an advanced AD topic. There is an example of atomic Cholesky factoriation at It my be better (and much easier) to let eigen do the work Although there is a problem with eigen that the I have had to work around: |
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Matrix factorization is an advanced AD topic.
Here are a couple of links to papers on this topic:
https://link.springer.com/chapter/10.1007/978-3-540-68942-3_4
https://www.sciencedirect.com/science/article/abs/pii/S1877750311001013
There is an example of atomic Cholesky factoriation at
https://coin-or.github.io/CppAD/doc/atomic_two_eigen_cholesky.cpp.htm
This uses the old atomic_two interface and I have not had time to convert it to use the newer atomic four interface.
It my be better (and much easier) to let eigen do the work
https://coin-or.github.io/CppAD/doc/eigen.htm
Although there is a problem with eigen that the I have had to work around:
https://eigen.tuxfamily.org/bz/show_bug.cgi…