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Hi Allan:
Thank you for all your valuable work - autodiff C++ is central to the analytics library I am developing to compute market risk sensitivities of derivative instruments.
I am attempting …
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This is something super fundamental and well suited for @parijat and @iglesias project.
The idea is to, like in PCA, minimise the re-construction error of a low-rank representation of the data while…
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At the moment there are three factorisation methods that take options, the methods on `Eigen`, `EigenSym`, `GSVD` and `SVD`. These take different approaches to specifying options for factorisation.
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Dominics-MacBook-Pro:hmatrix-0.14.1.0 dom$ cabal install hmatrix-tests --enable-tests
Resolving dependencies...
Configuring hmatrix-tests-0.3...
Building hmatrix-tests-0.3...
Preprocessing library hma…