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FREE WEBINAR: Retrofitting AAD to Your Existing C++ Library Using Tape Compression by Alexander Sokol

 
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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 is available to all participants.

To gain access to the presentation slides, add this Free Webinar to your Quants Hub Library. 

Topic

QuantLib

Published date

30 October 2015

Price

£0.00

Presenter Bio

Alexander Sokol

Alexander Sokol is CEO and Head of Quant Research at CompatibL and the author of the upcoming book “Long Term Portfolio Simulation”, to be published by Risk Books in 2014.

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