Alexander Sokol's Webinar: Retrofitting AAD to Your Existing C++ Library Using Tape Compression

Free webinar: Retrofitting AAD to Your Existing C++ Library Using Tape Compression

Presenter: Alexander Sokol is CEO and Head of Quant Research at CompatibL

  •          It is often stated that implementing AAD requires radical changes to an existing quant library because simply replacing double with adjoint variable causes excessive tape size and other problems
  •          TapeScript is an open source library which implements tape compression, a novel AAD technique of recording complete arrays rather than individual doubles in tape slots
  •          Tape compression makes it possible to retrofit AAD into an existing library without radical changes 
  •          As proof of concept, we present an implementation of AAD in QuantLib using TapeScript which achieved significant performance gains with minimal changes to the existing code

TapeScript is Apache-licensed open source and will always remain free for commercial use. Fork or download from github.com/compatibl/tapescript

Complete source code to webinar examples will be made available to all participants.