LibBi 1.2.0 released, new stochastic volatility example
posted by Lawrence Murray on 25 Aug 2014
LibBi version 1.2.0 is now
available: easier to install, Windows compatible for the first time, and with AVX support for faster performance on recent CPUs.
A new package demonstrating a simple stochastic volatility model is also available.
- Streamlined installation instructions: Perl module dependencies are now
make test checks for these dependencies, and
MAGMA is optional.
- CPU builds now work on Windows under Cygwin.
- CUDA builds now work on Mac OS X.
- AVX support added (use
- SMC$^2$ now works with a Kalman filter over the state, not just a particle
filter, and has been renamed marginal SIR to reflect this.
- Output at observation times can now be disabled (use
- Non-const scalar expressions are now allowed as indexes on the left side of
- Distribution now contains a compiled version of the manual.
- Major refactoring of methods code to reduce replication.
- Improved performance under
- Fixed the first observation in a time series being zero when
did not match the earliest time in
- Fixed CUDA kernel execution configurations for large numbers of variables.
- Fixed matrix range being ignored on the right side of actions.