LSS2

C++ Library containing some ODE and PDE solvers

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Project maintained by MichalSara99 Hosted on GitHub Pages — Theme by mattgraham

LSS2 (Linear System Solvers)

LSS2 is C++ library written written in Visual Studio 2019 IDE (VS) on win-x64 platform using C++17 standard. It contains several linear system solvers plus some ODE and PDE solvers. It has been migrated from LSS using valarrays instead of vectors. It also has some output functionalities.

Requirements

LSS2 uses among others some CUDA solvers. Therefore NVidia’s graphic device with CUDA library v11.3 (and above) is required.

Dependency

• NVidia’s CUDA library v11.3 (and newer)

Setup

As the library is being developed and tested in VS I will describe the setup only for this IDE. For other IDEs the steps will be similar.

0.Step

Download the library in zip or tar above and extract.

1.Step

Make sure to create CUDA project (>= v11.3) in VS

2.Step

Open property pages for the newly created project and

1. under Debugging tab set Environment to point to CUDA binaries folder (in my case it is PATH=C:\Program Files\NVIDIA GPU Computing Toolkit\CUDA\v11.3\bin)
2. under VC++ Directories tab set Include Directories to point to include folder of this library
3. under VC++ Directories tab set Library Directories to point to lib folder of this library
4. under Linker->Input tab add to Additional Dependencies cusolver.lib;cusparse.lib; cublas.lib; cublasLt.lib;lss2_debug.lib (or lss2_release.lib in case of Release configuration)
5. under Linker->General tab set Additional Library Dependencies to point to lib folder of this library
6. under CUDA Linker->General tab set Additional Library Directories to point to lib folder of this library

3.Step

Place lss2_debug.dll, lss2_debug.lib (lss2_release.dll, lss2_release.lib in case of Release configuration) into your executable folder

4.Step

Now you should be ready to use the library. Test it using following example

// main.cu file 


#include <iostream>
#include <string>
#include <lss/utilities/range.hpp>
#include <lss/configs/discretization_config_1d.hpp>


int main()
{

    // number of space subdivisions:
    std::size_t const Sd = 100;
    // number of time subdivisions:
    std::size_t const Td = 100;
    // space range:
    auto const &space_range_ptr = lss::range_builder().lower(0.0).upper(20.0).build();
    // time range
    auto const &time_range_ptr = lss::range_builder().lower(0.0).upper(1.0).build();

    //// discretization config:
    auto const &discretization_ptr = lss::discretization_config_1d_builder()
                                        .space_range(space_range_ptr)
                                        .number_of_space_points(Sd)
                                        .time_range(time_range_ptr)
                                        .number_of_time_points(Td)
                                        .build();

    std::cout<<"Uniform space step value: "<< discretization_ptr->space_step()<<"\n";

    return 0;
}

If it does not compile or run ok make sure you did not miss any of the previous steps. Otherwise you can drop me a line on my github page.

Contents

In this section I will try to describe how to work with the library on several examples. I will also list several conventions which a client has to follow in order to properly use the solvers inside the library. Some of these conventions will be relaxed as the developement progresses.

• Boundary and initial/terminal conditions conventions
• 2nd order ODEs
• 1D Heat type equations
• 1D Wave type equations
• 2D Heston type equations
• 3D Heston-Hull-White type equations (experimental)

Support or Contact

Having trouble with LSS2? You can open issue or contact me on mail michal.sara99@gmail.com and I’ll try and help you sort it out.