Paketti: libstopt-dev (5.5 dfsg-1)

Links for libstopt-dev

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Imuroi lähdekoodipaketti stopt:

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External Resources:

Kotisivu [gitlab.com]

Samankaltaisia paketteja:

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).

Tagit: Software Development: Kirjastot, Role: Development Library

Muut pakettiin libstopt-dev liittyvät paketit

depends

recommends

suggests

enhances

dep: coinor-libclp-dev

Coin-or linear programming solver (developer files)
dep: coinor-libcoinutils-dev

Coin-or collection of utility classes (developer files)
dep: coinor-libosi-dev

COIN-OR Open Solver Interface (developer files)
dep: libboost-chrono-dev

C representation of time duration, time point, and clocks (default version)
dep: libboost-log-dev

C logging library (default version)
dep: libboost-mpi-dev

C interface to the Message Passing Interface (MPI) (default version)
dep: libboost-random-dev

Boost Random Number Library (default version)
dep: libboost-serialization-dev

serialization library for C (default version)
dep: libboost-system-dev

Operating system (e.g. diagnostics support) library (default version)
dep: libboost-test-dev

components for writing and executing test suites (default version)
dep: libboost-thread-dev

portable C multi-threading (default version)
dep: libboost-timer-dev

C wall clock and CPU process timers (default version)
dep: libeigen3-dev

lightweight C template library for linear algebra
dep: libgeners-dev

generic serialization library for C (development package)
dep: libopenmpi-dev

high performance message passing library -- header files
dep: libstopt5 (= 5.5 dfsg-1)

library for stochastic optimization problems (shared library)

sug: stopt-doc (= 5.5 dfsg-1)

library for stochastic optimization problems (documentation)

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