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by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>PetSC - <URL url="http://www.mcs.anl.gov/petsc/petsc-as/">http://www.mcs.anl.gov/petsc/petsc-as/</URL> Pro - Actively developed Pro - Handles all major matrix structures including sparse Pro - Can interface with other libraries Pro - Lots of linear algebra, nonlinear equations, and PDE functions ...
by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<t>vector<vector> - STL implementation Pro - Part of STL Pro - Simple to use Pro - Element storage order does not matter Pro - No license issues Pro - Platform independent Pro - Low overhead indexing of elements Pro - vector is well documented Con - Not compatible with BLAS/LAPACK/ATLAS/MKL/ACML Con...
by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>NewMat - <URL url="http://www.robertnz.net/nm_intro.htm">http://www.robertnz.net/nm_intro.htm</URL> Pro - Handles all major matrix structures Pro - Uses expression templates for delayed evaluation Pro - No license issues Con - Little if any active development Con - 1-D and 2-D only Con - No spars...
by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>Blitz++ - <URL url="http://www.oonumerics.org/blitz/">http://www.oonumerics.org/blitz/</URL> Pro - Simple syntax Pro - Handles large number of dimensions Pro - Allows indicing/slicing of dimensions Pro - Uses expression templates for delayed evaluation Pro - Natively interfaces with BLAS/LAPACK/A...
by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>IT++ - <URL url="http://sourceforge.net/apps/wordpress/itpp/">http://sourceforge.net/apps/wordpress/itpp/</URL> Pro - Actively developed Pro - Contains signal processing functions such as FFT Pro - Natively interfaces with BLAS/LAPACK/ATLAS/MKL/ACML Pro - Implements sparse matricies Pro - Simple ...
by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>MTL4 - <URL url="http://www.simunova.com/de/node/24">http://www.simunova.com/de/node/24</URL> Pro - Actively developed Pro - Simple syntax Pro - Uses expression templates for delayed evaluation Pro - Natively interfaces with BLAS/LAPACK/ATLAS/MKL/ACML Con - 1-D and 2-D only Con - Mostly a commerc...
by OOglesby
November 9th, 2011, 12:52 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>Eigen - <URL url="http://eigen.tuxfamily.org/index.php?title=Main_Page">http://eigen.tuxfamily.org/index.php?title=Main_Page</URL> Pro - Actively developed Pro - Simple syntax Pro - Handles common matrix structures including sparse Pro - Contains a set of unofficial modules for FFT, nonlinear equ...
by OOglesby
November 9th, 2011, 12:51 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>Armadillo - <URL url="http://arma.sourceforge.net/">http://arma.sourceforge.net/</URL> Pro - Actively developed Pro - Simple syntax (similar to MATLAB and Octave) Pro - Uses expression templates for delayed evaluation Pro - Natively interfaces with BLAS/LAPACK/ATLAS/MKL/ACML Pro - Implements 1-D,...
by OOglesby
November 9th, 2011, 12:51 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r>Boost Multiarray - <URL url="http://www.boost.org/doc/libs/1_47_0/libs/multi_array/doc/index.html"><LINK_TEXT text="http://www.boost.org/doc/libs/1_47_0/li ... index.html">http://www.boost.org/doc/libs/1_47_0/libs/multi_array/doc/index.html</LINK_TEXT></URL> Pro - Standard boost library Pro - Han...
by OOglesby
November 9th, 2011, 12:50 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<r> Boost UBLAS - <URL url="http://www.boost.org/doc/libs/1_47_0/libs/numeric/ublas/doc/index.htmPro"><LINK_TEXT text="http://www.boost.org/doc/libs/1_47_0/li ... dex.htmPro">http://www.boost.org/doc/libs/1_47_0/libs/numeric/ublas/doc/index.htmPro</LINK_TEXT></URL> - Standard boost libraryPro - Hand...
by OOglesby
November 9th, 2011, 12:48 am
Forum: The Quantitative Finance Code Library Project
Topic: Choice of matrix library and interface
Replies: 95
Views: 30279

Choice of matrix library and interface

<t>I have been reading about the development of qfcl with interest. My background is numerical computing for estimation and signal processing (non-finance), and I hope to help out with the numerics side of this library.Before too much work is done with the numerical algorithms in the generic library...
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