NAGNews 100, 22 September 2011


Functions of Matrices and Nearest Correlation Matrices

A seminar by Nicholas J. Higham, School of Mathematics, The University of Manchester

Functions of matrices are of growing interest in many application areas due to the succinct and insightful way they allow problems to be formulated and solutions to be expressed. They are a valuable part of the problem solver's toolbox, as Nick illustrates with practical examples relevant to finance. In his talk he outlines the main matrix functions of interest and indicates the state of the art in methods for computing them. He also describes the University of Manchester's collaboration with NAG, through a Knowledge Transfer Partnership, to extend the repertoire of matrix function codes in the NAG Library.

In many practical applications involving statistical modelling it is required to adjust an approximate, empirically obtained correlation matrix so that it has the three required properties of symmetry, positive semidefiniteness, and unit diagonal. Nick gives an overview of existing methods for computing the nearest correlation matrix to a given matrix and discusses an extension of the problem that incorporates factor structure, also indicating available software.

See the recorded presentation and slides of Nick Higham's 20th June 2011 technical seminar

Win an iPad and help celebrate the 100th edition of NAGNews

As NAG comes to the end of our 40th anniversary year can you provide a suggestion that may help make your future better? Just use your skill and understanding of NAG to answer a simple question:

'What is the best reason to use NAG numerical products or services?'

(The person with the best answer, judged by technical and marketing standards, will receive the iPad. Your entries must be received by 1st December. There is no obligation to make any purchase. More details here.)

Using NAG with Excel®

Many of our users call NAG from Microsoft® Excel®. We have updated examples to link to the lastest library versions and added new examples (including Nearest Correlation Matrix (NCM) with the k-factor structure) of some of the latest routines.

There are also examples to help new users learn how to make the best use of NAG from Excel. Take a look at all the examples here.


Linear Quantile Regression: a NAG Library Spotlight

We continue the series on new features in the latest NAG Library, Mark 23. If you haven't yet upgraded to Mark 23 and want to, please contact us. Today's new routine/functionality spotlight is on:

Linear Quantile Regression

Mark 23 adds linear quantile regression to complement the wide variety of regression techniques already in the NAG Library. Linear quantile regression is related to linear least-squares regression in that both are concerned with the linear relationship between a response variable and one or more independent or explanatory variables. However, whereas least-squares regression is concerned with modelling the conditional mean of the response variable, quantile regression models the conditional ?th quantile of the response variable, for some value of ? between zero and one. So, for example, ? = 0.5 would be the median. Continue reading this article here.

Middlesex University Modelling Group uses NAG Library for Modelling communications Systems

The School of Engineering and Information Sciences at Middlesex University are making use of the Library in the modelling of wireless technology handoff schemes. Continue reading about the Middlesex University work on Communications System with NAG here.

If you'd like to learn more about NAG's Academic Licensing plans or contribute your own user story please contact us.

Recent Blog Posts

Keep up to date with NAG's recent blog posts here:

How to use NAG and Excel
What is this HPC thing?
Seeing the good for the trees

Out & About with NAG

Risk USA - New York. 31 October-3 November
Quant Congress Europe - London. 7-9 November
SC'11 - Seattle. 14-17 November

HECToR Training Courses by NAG's HPC Team

Here are the courses being held over the next few months. Details of how to attend can be found on the HECToR website.

26-30 September 2011
Algorithms for High Performance Scientific Computing

11-13 October 2011
Object-Oriented Programming in Fortran 2003

November 7-9
King's College London Parallel Programming with MPI

November 10-11
King's College London OpenMP

November 21-22
NAG Manchester An Introduction to CUDA Programming

November 24-25
NAG Manchester An Introduction to OpenCL Programming

For more information on any of the above events visit NAG's ‘Out & About’ webpage

New NAG product implementations

The NAG C Library, Mark 9 is now also available for the following platform:

  • Solaris 10 (SunOS 5.10) on AMD64, using Sun Studio 11 C Compiler

The NAG Fortran Library, Mark 23 is now also available for the following platform:

  • x86-32 Linux using Intel Fortran Compiler v12.0. 32 bit

For full details of these and all other available implementations, visit the NAG web site. Comprehensive technical details of each implementation are given in the relevant Installation and User Notes here.

NAGNews - Past Issues

We provide an online archive of past issues of NAGNews. For editions prior to these, please contact us.