Bug#1001099: ITP: stopt -- library for stochastic optimization problems
Package: wnpp
Severity: wishlist
Owner: Pierre Gruet <pgt@debian.org>
X-Debbugs-Cc: debian-devel@lists.debian.org
* Package name : stopt
Version : 4.2
Upstream Author : Xavier Warin <xavier.warin@gmail.com>
* URL : https://gitlab.com/stochastic-control/StOpt/
* License : LGPL-3
Programming Lang: C++
Description : library for stochastic optimization problems
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.
The package will be team-maintained in the Debian-math team. The upstream
developer is part of the packaging effort.
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