论文标题
修改经典BFGS库，用于配备SIMD的硬件和AAD库
Modifications to a classic BFGS library for use with SIMD-equipped hardware and an AAD library
论文作者
论文摘要
我们介绍了BFGS方法的某些修改，以利用SIMD的优势，这些功能本质上不可行（仅具有连续操作）。我们还提供了一个修改的LBFGS \ texttt {++}库，该库利用这些修改并使用AAD，并为AAD用户提供一个接口，该接口会自动利用修改后的库。我们举两个例子来说明表现。修改的库在矿石中的欧洲交换曲线校准速度（不可平行于）和1.4倍以通过一组欧洲选项校准LMM模型的速度快3.8倍。
We introduce certain modifications of the BFGS method for functions that are not parallelizable by nature (having consecutive operations only) taking advantage of SIMD. We also provide a modified LBFGS\texttt{++} library that takes advantage of these modifications, and the use of AAD, and give an interface for AAD users that takes advantage of the modified library automatically. We give two examples to illustrate the performance. The modified library is up to 3.8 times faster for European Swaption curve calibration in ORE (not parallelizable) and 1.4 times faster for calibrating the LMM model by a set of European options.
