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 special functions such as factorial, binomial, the gamma function and related functions, Bessel functions, elliptic integrals, and many more. (Prior versions of a few of these functions, such as StatsFunctions.IncompleteGamma, are now deprecated.)
• Added a new native library, nmath_sf_x86.dll and nmath_sf_x64.dll, with high-performance C language implementations of the special functions.
• Added single-precision versions of general sparse matrix and vector types.

For more complete changelogs, see here and here.

Upgrades are provided free of charge to customers with current annual maintenance contracts. To request an upgrade, please visit our upgrade page, or contact sales@centerspace.net. Maintenance contracts are available through our webstore.

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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–GPU routing to insure optimal hardware usage.
• NMath linear programming, nonlinear programming, and quadratic programming classes are now built on the Microsoft Solver Foundation (MSF). The Standard Edition of MSF is included with NMath.
• Added classes for solving nonlinear programming problems using the Stochastic Hill Climbing algorithm, for solving quadratic programming problems using an interior point algorithm, and for solving constrained least squares problems using quadratic programming methods.
• Added support for MKL Conditional Numerical Reproducibility (CNR).

For more complete changelogs, see here and here.

Upgrades are provided free of charge to customers with current annual maintenance contracts. To request an upgrade, please contact sales@centerspace.net. Maintenance contracts are available through our webstore.

The post Announcing NMath 6.0 and NMath Stats 4.0 appeared first on CenterSpace.

CenterSpace will be giving a presentation at the upcoming GPU Technology Workshop South East Asia on July 10. The conference will be held at the Suntec Singapore Convention & Exhibition Centre. For a full schedule of talks see the agenda.

Andy Gray, a technology evangelist for CenterSpace Software, will be delivering the talk. We hope to see you there!

Parallel Computing in Finance Lecture

The June 5-6 conference at the University of Chicago titled, Recent Developments in Parallel Computing in Finance hosted talks by various academics in finance, Microsoft, Intel, and CenterSpace. CenterSpace was invited to give a two hour lecture and tutorial on GPU computing at the Stevanovich Center at the University of Chicago. We will post up the tutorial video from the talk as soon as it becomes available.

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NMath uses unmanaged code–specifically, Intel’s Math Kernel Library (MKL), an implementation of the BLAS and LAPACK standard.

In Silverlight 4.0, you can use NMath in two ways. You can either use JavaScript to talk to the server and have NMath running there, or you can register classes as COM objects on the local machine and call into them.

In Silverlight 5.0, you will be able to call unmanaged code directly on the client. NMath will have to exist in the client, but interfacing with it should be quite simple.

– Trevor

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An Introductory Example

Suppose we have the following sampled data.

The following C# code builds the test data and locates the single peak in this simple data set.

Using CenterSpace.NMath.Core;

DoubleVector d = new DoubleVector(0,-1, 1.5, 2, 3, 4, 4.5, 4, 3, 2.2, 1.0, -3.0, 0);
PeakFinderSavitzkyGolay pfa = new PeakFinderSavitzkyGolay(d, 5, 4);
pfa.LocatePeaks();

The peak data reported back by the Savitzky-Golay peak finder can be either the (x,y) location of the peak, or the index lying on or preceding the found peak.

Peak found at x:6.00, y:4.50
Peak found at index: 6

The peak finding PeakFinderSavitzkyGolay class requires three parameters: a data vector, the filter window width, and the degree of the smoothing polynomial.

A More Complex Example

To build a peak finder on top on this class for some domain specific data, we need to understand the basic parameters that control which peaks are reported. For this second example, let’s use the complex signal show below, which contains a mixture of isolated peaks, adjacent peaks, and narrow and broad peaks.

This signal also includes some very subtle peaks near x = 23.5 and x = 29. Applying the PeakFinderSavitzkyGolay class as shown below, all 15 peaks are found (the top of the first peak is off the scale in our image).

PeakFinderSavitzkyGolay pfa = new PeakFinderSavitzkyGolay(signal, 10, 5);
pfa.AbscissaInterval = 0.1;
pfa.LocatePeaks();
Console.WriteLine("Number of peaks found: " + pfa.NumberPeaks.ToString());
Console.WriteLine(String.Format("Peak found at x:{0:0.00}, y:{1:0.00}", pfa[4].X, pfa[4].Y));

The position of the fifth peak is reported to the console, using indexing notation, pfa[4].X, pfa[4].Y, on the peak finder object.

Number of peaks found: 15
Peak found at x:9.03, y:0.35

By setting the AbsciassaInterval to the signal sample rate (in this example 0.1 seconds) the class can scale the x-axis according to your units, and supply the (x, y) positions of all found peaks. If you only need the peak location down to the resolution of the sample interval, the peak finder will just report the index that either precedes or lies on the peak abscissa location. This avoids the an extra interpolation step to locate the inter-sample peak abcissa, and increases performance.

Now supposing that we want to eliminate all broad peaks and can increase the peak finders selectivity.

PeakFinderSavitzkyGolay pfa = new PeakFinderSavitzkyGolay(signal, 10, 5);
pfa.AbscissaInterval = 0.1;
pfa.SlopeSelectivity = 0.003;
pfa.LocatePeaks();

The property SlopeSelectivity defaults to zero, causing the peak finder to report all found peaks. By increasing the selectivity a hair to 0.003, the peak finder no longer reports the last three peaks. Both the two subtle peaks are eliminated along with the final broad peak near 26. The slope selectivity is simply the slope of the smoothed first derivative of the Savitzy-Golay polynomial at each zero crossing – so as it’s value is increased only the more pronounced peaks (with steeply diving smoothed first derivatives) are reported.

If we want to heavily filter the peaks and only see the peaks of the general trend line, we could increase the filter width dramatically from 10 to 80.

PeakFinderSavitzkyGolay pfa = new PeakFinderSavitzkyGolay(signal, 80, 5);
pfa.AbscissaInterval = 0.1;
pfa.SlopeSelectivity = 0.0;
pfa.LocatePeaks();

Using these parameters, we find only the four peaks that capture the low frequency variation of the signal above.

Peak found at x:7.53, y:0.34
Peak found at x:14.27, y:0.26
Peak found at x:20.28, y:0.25
Peak found at x:26.76, y:0.24

Note that the y-values here correspond to the smoothed, fitted polynomial not the actual data at the x value. This demonstrates the ability of the this peak finder to act as a low pass filter, which can be use to sort out the peaks of interest from higher frequency noise. This is why Savitzy-Golay data smoothing is often used for baseline subtraction (for example in pre-processing mass spectrometry data before peak finding).

Summary & Performance

The first example used a smoothing polynomial of degree 4, and the second example a polynomial degree of 5. Experience shows that typically a polynomial degree between 3-7 will be best suited to smooth measurement data and correctly locate peaks. However, there is no hard and fast rule, so feel free to experiment. Having said that, the polynomial degree must always be strictly less than the window width or an exception will be thrown.

polynomial degree < window width

Because, after object construction, this peak finder boils down to a convolution, it's performance is far better that many peak finders. On my 2.8Ghz Intel i7 Quad Core, I can find peaks in 3 million data points in about 80 ms, and in 30 million data that requires about 700ms. That would give us the ability to do peak finding in a real time system running with a sample rate of ~43 MHz. In a real system there would likely be other peak filtering overhead, but we would still be able to process data at a very high rate - suitable for most real-time data sampling applications.

Happy Computing

-Paul Shirkey

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Partnership with Innovative Genomic Services Company

Corvallis, Oregon (May 13, 2009) – CenterSpace Software, a leading provider of enterprise class numerical component libraries for the .NET platform, and Floragenex, an innovative genomic research services company, today announced that they have teamed up to build a flexible genomics data analysis pipeline in the cloud.

Rapid growth of the research services business at Floragenex requires expansion of computing resources beyond the company’s current infrastructure. CenterSpace has deep knowledge of high-powered analytical software and experience developing applications utilizing the cloud computing power of Amazon Web Services. Together, the two companies are working to build a cloud-computing infrastructure to improve ease of use, lower costs, and accelerate data throughput for Floragenex.

“The new system retrieves genetic sequence data from the sequencing facility of choice, places it into storage in the cloud and runs analysis based on the particular needs of the project. The Floragenex end user can login to a web page to select their data, choose their parameters and run their analysis. The work is done on Amazon Elastic Compute Cloud (EC2) computers and results are archived on Amazon S3 for easy retrieval. The costs are small and the benefits large,” says Trevor Misfeldt, CEO of CenterSpace Software.

“The massive volume of data that genome sequencers produce has required us to look for creative ways to scale our business. Working with CenterSpace allows us to lay the foundation for continued growth without making capital investments in IT hardware,” says Nathan Lillegard, CEO of Floragenex. “The bioinformatics work we do for our customers is particularly well suited to cloud computing, with large sets of data requiring intensive but discreet data processing. Building a cloud infrastructure now will allow us to grow our business and expand our service offerings more responsively.”

About the Companies

CenterSpace Software is a leading provider of enterprise class numerical component libraries for the .NET platform. Developers worldwide use CenterSpace products to develop .NET financial, engineering, and scientific applications. CenterSpace Software has offices in Corvallis, OR, and can be found on the Internet at www.centerspace.net.


Floragenex is a research services company focused on genomic technology applications in plant sciences. Floragenex enables scientists to do more, expanding their capability using a suite of advanced genomic services matched to the specific resources and goals of each project. Floragenex is based in Eugene, OR, and can be found on the internet at www.floragenex.com.

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