James Baker, Suite's product manager and Gene Schupak, head of quantitative development, will be at QuantMinds International in London November 13-16.
James will present from our recent work on migrating risk computations to the GPU with Tensorflow, then further accelerating them with Reinforcement Learning.
James notes, "a tensor-based rewrite of risk libraries offers easy deployment to a cluster of GPUs to speed up computations, while also supplying automatic differentiation to reduce the number of computations required. Care is required to develop a good strategy for the vectorization to ensure the greatest gains. But some facets of the graph execution can still benefit from an extra boost - for which Reinforcement Learning provides a good solution."
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