Expand description
§HJB Solver & Policy Iteration Library
This library provides numerical and analytical solvers for Hamilton-Jacobi-Bellman (HJB) equations arising in optimal control problems, specifically focused on High-Frequency Trading (HFT) and Market Making.
§Modules
analytical- Closed-form solutions and approximations (e.g., Avellaneda-Stoikov).core- Core data structures for grid-based discretization and tensor operations.linalg- Custom linear algebra engine (CSR matrices, SOR solver, Eigenvalue decomposition).models- Definitions of specific optimal control models (dynamics, intensities, utility).numeric- Numerical solvers (Finite Difference Policy Iteration, BSDE).lookup- Lookup table caching and interpolation for grid evaluation.
Modules§
- analytical
- Analytical solutions for market making models.
- core
- Core data structures for the solver.
- linalg
- Linear Algebra Engine
- lookup
- models
- Models
- numeric
- Numerical Solvers.
- validation
- Canonical numerical error metrics shared across solver tests and benches.