solver/lib.rs
1//! # HJB Solver & Policy Iteration Library
2//!
3//! This library provides numerical and analytical solvers for Hamilton-Jacobi-Bellman (HJB) equations
4//! arising in optimal control problems, specifically focused on High-Frequency Trading (HFT) and Market Making.
5//!
6//! ## Modules
7//!
8//! * `analytical` - Closed-form solutions and approximations (e.g., Avellaneda-Stoikov).
9//! * `core` - Core data structures for grid-based discretization and tensor operations.
10//! * `linalg` - Custom linear algebra engine (CSR matrices, SOR solver, Eigenvalue decomposition).
11//! * `models` - Definitions of specific optimal control models (dynamics, intensities, utility).
12//! * `numeric` - Numerical solvers (Finite Difference Policy Iteration, BSDE).
13//! * `lookup` - Lookup table caching and interpolation for grid evaluation.
14
15extern crate lapack_src;
16
17pub mod analytical;
18pub mod core;
19pub mod linalg;
20pub mod lookup;
21pub mod models;
22pub mod numeric;