Enhanced capabilities in Optimization, Statistics, Linear Algebra and Copulas
November, 2005. The world's leading provider of mathematical and statistical software for developers, the Numerical Algorithms Group (NAG), announces its new release of the globally renowned NAG C Library. Extensive new functionality added to the NAG C Library at the latest release provides programmers with over 1000 easily embedded numerical routines. The new developments at Mark 8 make it far and away the largest commercially available numerical library for the C language. In addition to the considerable new functionality, Mark 8 will be available for 64-bit and 32-bit applications alike and feature compatibility with the latest compilers.
For over 15 years developers around the world have trusted the NAG C Library for highly accurate answers, robust code and comprehensive documentation. They also know that technical support from NAG means talking to one of our expert developers. NAG C Library users also benefit from the fact that the library code has been applied to some of the toughest application requirements in finance, engineering, research, energy, life sciences, and business analytics. The flexible structure of the NAG C Library enables it to be called from many environments and packages such Microsoft .NET, Excel, MATLAB® and various popular statistical packages making it ideal for a wide range of application environments.
With the increased strength in terms of size and functionality, the NAG C Library, Mark 8 will benefit anyone needing to add mathematical and statistical functionality to their applications. Of particular interest to those working within the finance industry will be the extended optimization chapter, which now incorporates enhanced sparse matrix techniques, critical for efficiently solving problems that involve a very large proportion of zeros in the constraint or objective functions. A typical example is in a portfolio optimization problem where a constraint exists on the percentage of the portfolio invested in stocks within a given country. In such a problem there will be holdings specified for many stocks but most will be zero making the problem large but also predominantly sparse in nature.
Mark 8 will also provide a number of new modules and techniques in fields such as linear algebra and copulas. There is currently great interest in the mathematics of copulas from financial engineers and the modules for this branch of statistics within the new release will be a vital numerical tool for those wanting to use Gaussian or Student-t or other copula techniques to model multivariate statistical relationships on computers. Copulas are also frequently applied to any form of stochastic simulation where a more flexible multivariate covariance structure is required.
The already extensive linear regression chapter in the NAG C Library has been further enhanced with the inclusion of routines for stepwise linear regression and mixed effects regression. Stepwise regression allows for the automatic selection of subsets of independent variates and is ideal for analyzing datasets with a large number of independent variates. The mixed effects regression routines allow the fitting models that contain both random and fixed variates; a type of modeling that is currently used in a wide range of disciplines. In addition to the widespread enhancements to the statistical area of the NAG C Library the Time Series Analysis chapter has been enlarged with the addition of routines for the fitting of and prediction from a vector autoregressive moving average (VARMA) model.
According to Rob Meyer, CEO of NAG, "Mark 8 of the NAG C Library is another significant advance in functionality from NAG, particularly for those in finance and business analytics. With this release we are fulfilling our commitment to give developers better performance and greater choice in functionality while retaining the NAG traditions of accuracy, robustness and comprehensive documentation."
The flexibility of the software allows it to be used independently or as part of a wider application in all areas of scientific numerical computation. Indeed, a growing number of software partners (e.g. Oracle, MapleSoft, Manugistics) are embedding NAG functionality into their own software packages in order to exploit the quality, reduced maintenance requirements and faster time-to-market offered by NAG's algorithms. Because every algorithm is subject to NAG's stringent testing, users can have complete confidence in the product.
NAG's C Library is available in a wide range of implementations, from PCs to supercomputers, covering Windows, Linux and major Unix platforms, ensuring that NAG's users are not constrained to a particular environment. In addition, users subscribing to NAG's Customer Support Service can have access via the Response Centre to the technical experts responsible for this software.
New at Mark 8 Summary
- Extended optimization capabilities including
- Constrained minimization for large sparse problems
- Constrained Quadratic Programming for large sparse problems
- Statistics: extended coverage including
- Copulas - Normal and Student's t
- Multivariate Normal, Student's t distribution random numbers
- Mixed effects regression
- Stepwise linear regression
- New chapter of routines for large scale eigenvalue problems
- New Solvers for large, sparse systems of linear equations
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