Package: libstopt-dev (5.5+dfsg-1)

[ Source: stopt  ]

library for stochastic optimization problems (development package)

The STochastic OPTimization library (StOpt) aims at providing tools in C++ for solving some stochastic optimization problems encountered in finance or in the industry. Different methods are available:

 - dynamic programming methods based on Monte Carlo with regressions (global,
 local, kernel and sparse regressors), for underlying states following some
 uncontrolled Stochastic Differential Equations;
 - dynamic programming with a representation of uncertainties with a tree:
 transition problems are here solved by some discretizations of the commands,
 resolution of LP with cut representation of the Bellman values;
 - Semi-Lagrangian methods for Hamilton Jacobi Bellman general equations for
 underlying states following some controlled Stochastic Differential
 Equations;
 - Stochastic Dual Dynamic Programming methods to deal with stochastic stock
 management problems in high dimension. Uncertainties can be given by Monte
 Carlo and can be represented by a state with a finite number of values
 (tree);
 - Some branching nesting methods to solve very high dimensional non linear
 PDEs and some appearing in HJB problems. Besides some methods are provided
 to solve by Monte Carlo some problems where the underlying stochastic state
 is controlled.
 For each method, a framework is provided to optimize the problem and then
 simulate it out of the sample using the optimal commands previously computed.
 Parallelization methods based on OpenMP and MPI are provided in this
 framework permitting to solve high dimensional problems on clusters.

The library should be flexible enough to be used at different levels depending on the user's willingness.

This package contains the headers and the static libraries (libstopt-mpi which allows for multithreading, and libstopt which does not).

Tags: Software Development: Libraries, Role: Development Library

Other Packages Related to libstopt-dev

• dep: coinor-libclp-dev

  risolutore di programmazione lineare di COIN-OR (file di sviluppo)

• dep: coinor-libcoinutils-dev

  raccolta di classi di utilità di COIN-OR (file per lo sviluppatore)

• dep: coinor-libosi-dev

  COIN-OR Open Solver Interface (developer files)

• dep: libboost-chrono-dev

  rappresentazione C++ di intervalli temporali, punti temporali e orologi (versione predefinita)

• dep: libboost-log-dev

  C++ logging library (default version)

• dep: libboost-mpi-dev

  interfaccia C++ per MPI (Message Passing Interface) (versione predefinita)

• dep: libboost-random-dev

  libreria Boost Random Number (versione predefinita)

• dep: libboost-serialization-dev

  libreria di serializzazione per C++ (versione predefinita)

• dep: libboost-system-dev

  libreria per accedere al S.O. (es. supporto diagnostico) (versione predefinita)

• dep: libboost-test-dev

  componenti per scrivere ed eseguire suite di test (versione predefinita)

• dep: libboost-thread-dev

  multi-thread C++ portabile (versione predefinita)

• dep: libboost-timer-dev

  C++ wall clock and CPU process timers (default version)

• dep: libeigen3-dev

  libreria leggera di modelli C++ per algebra lineare

• dep: libgeners-dev

  generic serialization library for C++ (development package)

• dep: libopenmpi-dev

  libreria per il passaggio di messaggi dalle alte prestazioni - file header

• dep: libstopt5 (= 5.5+dfsg-1)

  library for stochastic optimization problems (shared library)

• sug: stopt-doc (= 5.5+dfsg-1)

  libreria per problemi di ottimizzazione stocastica (documentazione)

Download libstopt-dev

Download for all available architectures

Architecture	Package Size	Installed Size	Files
i386	2,865.1 kB	25,641.0 kB	[list of files]