Thursday, December 29, 2011

Surfing on for news in numerical methods

I spent 2h yesterday evening surfing for "fun things to read". My theme was "what is new in numerical methods". This is what I found:
PNL is a numerical library for C and C++
  • I really put this here because it had hyper matrices. The truth is I have not looked into new numerical math libraries in ages but if  I were to use one I would like it thave multi-dimensional matrices that I could slice and dice the way I would like. I am not sure this library is up to all that but it is used in the next article.
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options (C´eline Labart)
  • What I liked here is that the extrapolation polynomial is based on on a sparse polynomial chaos approximation. Not to mention that the rest of the work was nice, although all put together I really do not know how efficient the  implementation is.
Parametric Optimal Design Of Uncertain Dynamical Systems  (Joseph T. Hays)
A Tour of the Jungle of Approximate Dynamic Programming (Warren B. Powell)
Solution of Large Systems of Equations Using Approximate Dynamic Programming Methods (Dimitri P. Bertsekas, Huizhen Yu)
Automatic Differentiation methods in computational Dynamical Systems: invariant manifolds and normal forms (Àlex Haro)
Optimization-based Approximate Dynamic Programming (Marek Petrik)