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
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