QuantLib
ceres-solver
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| QuantLib | ceres-solver | |
|---|---|---|
| 1 | 8 | |
| 4,810 | 3,601 | |
| - | 2.6% | |
| 9.8 | 8.1 | |
| 3 days ago | 5 days ago | |
| C++ | C++ | |
| GNU General Public License v3.0 or later | 3-Clause BSD License |
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QuantLib
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Question About Fitting The Heston Model To Market Data
Check out the last 2 methods here https://github.com/lballabio/QuantLib/blob/master/ql/models/equity/hestonmodelhelper.cpp
ceres-solver
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The Elements of Differentiable Programming
I can't reply to the guy saying julia is the only one. But there are others.
Ceres uses dual numbers
https://github.com/ceres-solver/ceres-solver/blob/master/inc...
This library from google is used everywhere in robotics, so it's hardly some backwater little side project.
So does c++ autodiff
- A large scale non-linear optimization library
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Photometric Bundle Adjustment library?
http://ceres-solver.org (if you want to implement it manually, see tutorials & openCV sfm module)
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Gradients Without Backpropagation
http://ceres-solver.org/ works well, in my experience.
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Is there a library for non-linear optimization in Rust?
Hey, people! I was wondering if there is a library for non-linear optimization, equivalent to that for Ceres Solver that you have in C++?
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What libraries do you miss from other languages?
I've not yet seen anything comparable to http://ceres-solver.org/
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Non-linear equation solver for microcontrollers
Disclaimer: I'm one of the authors of Ceres Solver which is widely used for solving computational geometry problems in computer vision. I also wrote TinySolver. And nowadays, I focus on Pigweed; a collection of embedded libraries targeting high-volume consumer electronics products. It's fun to see an overlap of these two areas expertise!
What are some alternatives?
Eigen
GLM - OpenGL Mathematics (GLM)
casadi - CasADi is a symbolic framework for numeric optimization implementing automatic differentiation in forward and reverse modes on sparse matrix-valued computational graphs. It supports self-contained C-code generation and interfaces state-of-the-art codes such as SUNDIALS, IPOPT etc. It can be used from C++, Python or Matlab/Octave.
TinyExpr - tiny recursive descent expression parser, compiler, and evaluation engine for math expressions
LibTomMath - LibTomMath is a free open source portable number theoretic multiple-precision integer library written entirely in C.
OpenBLAS - OpenBLAS is an optimized BLAS library based on GotoBLAS2 1.13 BSD version.
CGal - The public CGAL repository, see the README below
Xerus - A general purpose library for numerical calculations with higher order tensors, Tensor-Train Decompositions / Matrix Product States and other Tensor Networks
Boost.Multiprecision - Boost.Multiprecision