NMath

Precision and Reproducibility in Computing

Run-to-run reproducibility in computing is often assumed as an obvious truth. However software running on modern computer architectures, among many other processes, particularly when coupled with advanced performance-optimized libraries, is often only guaranteed to produce reproducible results only up to a certain precision; beyond that results can and do vary run-to-run. Reproducibility is inte...
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Special Functions

Motivated by the need of some special functions when writing signal processing code for NMath, we decided to add a suite of special functions to be included in NMath 6.1. While the field of special functions is vast [1], our 41 functions cover many of the most commonly needed functions in physics and engineering. This includes the gamma function and related functions, Bessel functions, elliptic i...
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Announcing NMath 6.1 and NMath Stats 4.1

We're pleased to announce new versions of the NMath libraries - NMath 6.1, and NMath Stats 4.1. Added functionality includes: Upgraded to Intel MKL 11.2 Update 2 with resulting performance increases. Updated NMath Premium GPU code to CUDA 6. Added classes for solving linear and nonlinear programming problems with integer or binary constraints. Added class SpecialFunctions containing s...
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Announcing NMath 6.0 and NMath Stats 4.0

We're pleased to announce new versions of the NMath libraries - NMath 6.0, and NMath Stats 4.0. Added functionality includes: Upgraded to Intel MKL 11.1 Update 3 with resulting performance increases. Added Adaptive Bridge™ technology to NMath Premium edition, with support for multiple GPUs, per-thread control for binding threads to GPUs, and automatic performance tuning of individual CPU–...
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Optimal Portfolio Allocation

The problem of optimal portfolio allocation, in its simplest form, asks the question of how to fully allocate a given amount of wealth across a fixed universe of investments to achieve a minimum-risk goal-expected return. The known quantities are the potential field of investments, their performance history, and the goal rate of return; The unknown is the wealth allocation across the investments....
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