Which precision should I use? float32 or float64 about tf-quant-finance HOT 2 CLOSED

Hi @luweizheng

AFAIK, double precision is the standard. I think there is research on utilizing mixed precision to speed up calculations (see, e.g., here). At the time the paper you are mentioning was released, TPU did not support double precision but as of today it does (the last time I checked there was a double precision emulator). The paper demonstrates advantage of a TPU in terms of speed and cost but you'd still have to be very careful managing the error. I am not aware if there is a rule of thumb for single precision calculations (check out the reference above). I can imagine there are cases where single precision can be used. For example, for model calibration, where you can verify the calibrated model by testing against the market data.

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@cyrilchim Thanks a lot!

I'm happy to hear other discussions.

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