Graph Compression Applied to Quantitative Finance March 19, 2019 Harshad Deo 6 minutes read The sequence of operations that convert input to output can be visualized as a graph. Graph compression is the family name for a suite of SimianQuant algorithms that rewrite the computational graph to reduce the time and/or memory required.
Spire Issues - Algorithmic Differentiation March 8, 2019 Harshad Deo 3 minutes read Spire is a Scala library that implements number types and numeric abstractions. With close to 1500 stars on github (as of writing), it seems to be the library around which the community has coalesced for those applications. However there are issues with the implementation of specific datastructures.