MathNetBlogs

dnAnalytics + Iridium = Math.NET Numerics

Christoph Rüegg — Mon, 03 Aug 2009 01:44:00 -0700

You may have wondered why the Math.NET Iridium development has stopped abruptly almost two months ago. Luckily this is not entirely true, in the last few weeks the .Net numerics library has progressed well - but at a different place:

Math.NET Iridium is being merged with dnAnalytics, resulting in a new project named "Math.NET Numerics".

What does that mean for existing Math.NET Iridium users?

Higher development momentum and larger user community (as a direct result of merging two projects).
Better algorithm and code quality by picking the best of each project and simply by having new highly skilled developers on board.
New opensource license model: MIT/X11. This is a very open license similar to the so called New BSD License. This model is much less restricting than the previous LGPL and is (to my knowledge) source-compatible to a wide range of licenses including all GPL-based licenses and the Microsoft opensource licenses, too.
Some API changes. This is unavoidable since we try to integrate the best of both dnAnalytics and Iridium. At the same time this is a good chance to throw out some old designs that have shown to be improvable and replace them with better approaches. However, we try hard to keep migration as smooth as possible.
In addition to the completely self-contained managed implementation, we'll profit from the dnAnalytics experience with parallelized and native optimizations (MKL, ACMS, CUDA etc) and will therefore provide optional wrappers around native libraries which provide significantly better performance when working with large data sets.
Again thanks to the dnAnalytics experience, you can expect better F# support, even though the library is still written in C#.
Although Iridium did support sparse linear algebra for a very short time, we had to remove it due to several issue. You can expect Math.NET Numerics to finally support sparse linear algebra in a clean way.

You'll find the new Math.NET Numerics discussion board and tracker at CodePlex and the current sources at Github (subversion mirror at google). The full portal website and wikis etc. will be available in a few weeks. Feel free to post your ideas, feedback or even fork the repository at github to contribute code to the project (note that we will completely reorganize the project structure until mid August).

We'll let you know here and on Twitter as soon as we reach a first milestone and have an api preview ready.

Online API Reference

Christoph Rüegg — Fri, 17 Apr 2009 09:08:00 -0700

We now finally provide an online api reference in an rdoc-like style, generated by docu (actually by my github fork of it). Note that docu is new and still under heavy development, so the quality is likely to improve over the next months (e.g. right now the class summaries are missing).

http://numerics.mathdotnet.com/api/

It is simple, but (other than the older NDoc & Sandcastle generated sites) loads very fast.

Source Repository Mirror at Google Code

Christoph Rüegg — Thu, 08 Jan 2009 03:01:00 -0800

In addition to the official subversion repository we now also maintain a read-only repository mirror on google code, mainly as a fail-over backup solution if something happens to the primary server, but also because it provides additional ways to access the source: Subversion over the HTTP protocol (useful if you’re behind a restrictive firewall), and source code browsing directly in the web browser.

Official Subversion Repository:
svn://svn.opensourcedotnet.info/mathnet/trunk

New Subversion Repository Mirror:
http://mathnet-mirror.googlecode.com/svn/trunk/

Of course the official/primary repository remains accessible anonymously as well.

Iridium Statistics Accumulator: Better numerical stability

Christoph Rüegg — Wed, 07 Jan 2009 12:12:00 -0800

The algorithm on how the Mean, Variance and Sigma are incrementally computed in the statisics accumulator (MathNet.Numerics.Statistics.Accumulator) has been improved last week in Iridium revision 503 to provide better numeric stability when dealing with samples with a very large mean but only a small variance.

For example, the variance of normally distributed samples with mean 10^9 but a variance of only 1 can now be accurately estimated. The previous implementation has been very unstable in that case.

The new algorithm continues to support removing samples from the accumulator (and updates the estimates accordingly).

Complete Iridium Feature List

Christoph Rüegg — Tue, 04 Nov 2008 13:08:00 -0800

I have much more time for Math.NET from now on than in the past. As a first step I've finally collected and summarized all Math.NET Iridium features in a list:

http://numerics.mathdotnet.com/doc/Features.ashx

Beside of the continuous Iridium work I also plan to finally bring Math.NET Classic (traditional symbolic computer algebra) back to live.

Iridium 2008 August Release (2008.8.16.470)

Christoph Rüegg — Thu, 14 Aug 2008 05:14:00 -0700

Iteration 16 of Math.NET Iridium (Numerics) is now available, as 2008 August Release with Version 2008.8.16.470. Grab it here.

Please continue reporting issues and bugs you find, it’s very useful and helps making the whole project better. We’ve also setup a UserVoice page for you to suggest or vote for new features or enhancement.

Team: Christoph Rüegg, Joannès Vermorel, Matthew Kitchin

Summary:

Bugs: 4 bugs have been fixed.
Completely revised and extended interpolation toolkit.
New complex matrix and vector type (Complex Linear Algebra will follow in the next iteration).
Slightly enhanced real matrix and vector types .
QR decompositions are now unique (positive real R diagonal).
Complex type now has a public constructor, more intuitive.
New Digamma (Psi) special function.
Various other small changes.

For more details have a look at the download page or at the Iridium tracker change log.

Revised Interpolation Toolkit in Iridium

Christoph Rüegg — Sat, 10 May 2008 08:31:00 -0700

The next release of Math.NT Iridium, Iteration 16, comes with a revised interpolation architecture and implementation.

Up to now, the interpolation classes have been a bit akward to use, partially because of the SampleList collection class you had to use, and because of the design in general. It also provided only two interpolation algorithms, which are both somewhat outdated these days.

The new implementation provides some newer more stable algorithms (like Floater and Hormann’s algorithm for pole-free rational interpolation) together with a cleaner design. Additionally, some of the algoriths can also provide the first and second derivative and in the case of splines even a definite integration. There is also a new facade/portal class that reduces building an interpolation to one simple method call. Usually you would just use this facade class to build/precompute an interpolation, but all the algorithms are also publicly available in the Algorithms-namespace, so if you know what you’re doing you can use them directly.

Sample code, which uses a pole-free rational barycentric interpolation (the default algorithm) with 5 given sample pairs (t, x(t)):

double[] t = new double[] { -2, -1, 0, 1, 2};
double[] x = new double[] { 1, 2, -1, 0, 1};

IInterpolationMethod method =
     Interpolation.Create(t, x);

double res = method.Interpolate(0.5);

Simple, isn’t it?

Unfortunately it was not possible to fit the new design into the old classes, so the new classes and interfaces replace the old classes completely. These old classes are still there for now and continue to work, but they’re marked as obsolete and we recommend strongly to upgrade your code base to the new architecture.

The new architecture has already been checked in to the source repository. If you’re interested, please have a look at it and provide feedback - it’s not released yet so we can still change it completely :).

Iridium 2008 April Release (v2008.4.14.425)

Christoph Rüegg — Sun, 06 Apr 2008 04:50:00 -0700

Iteration 14 of Math.NET Iridium (Numerics) is now available, as 2008 April Release with Version 2008.4.14.425. Grab it here.

Sorry for the very short release cycle (just one week after iteration 12). The reason is that I won’t be able to work on Math.NET for the next three weeks and that some of the fixes and changes are important enough to not let you wait three weeks for no reason.

Please continue reporting issues and bugs you find, it’s very useful and helps making the whole project better. There’s also a big chance that the issue will actually be fixed: in the last few releases we always managed to fix all bugs we were aware of at that point. Thanks!

Team: Christoph Rüegg, Joannès Vermorel, Matthew Kitchin

Summary:

Bugs: All known 3 bugs have been fixed.
Better special function precision (Gamma, Beta, Erf, Distributions etc): now up to 12 - 14 digits.
New direct/real gamma function, new harmonic number function.
Interpolation: usability enhancements (better double-array support, less user code)

New Features:

IRID-122: Core - New direct Gamma function (additional to GammaLn) with negative value support
IRID-123: Core - New Special Function: Harmonic Numbers

Enhancements:

IRID-121: Core - Better numerical precision for Gamma function
IRID-125: Interpolation - Additional interpolation and sample list constructors for double arrays.
IRID-126: Interpolation - Better interpolation order access and defaults

Fixed Bugs:

IRID-119: Interpolation - Polynomial Extrapolation in positive direction throws IndexOutOfRangeException
IRID-120: Linear Algebra - Infinite recursion
IRID-124: Linear Algebra - Matrix.CopyToArray - wrong indexer in inner loop condition.

For more details have a look at the Iridium tracker change log.