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"The de facto-standard library for linear algebra on the .NET platform is the Extreme Optimization Library."
- Jon Harrop, author, F# for Scientists
"I have yet to see another package that offers the depth of statistical analysis that Extreme Optimization does,
and I must say that I'm impressed with the level of service I've experienced."
- Henry Oh, RBC Capital Markets
"I have made it my mission to institutionalize the value of good
API design. I strongly believe that this is key to making developers
more productive and happy on our platform. It is clear that you value good
API design in your work, and take to heart developer productivity and
synergy with the .NET framework."
- Brad Abrams,
Lead Program Manager,
Extreme Optimization Numerical Libraries for .NET
Math Library Features
The Extreme Optimization Numerical Libraries for .NET includes
classes for the following subject areas. Also see the detailed
Vector and Matrix and Statistics feature lists.
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- Machine floating-point constants.
- Common mathematical constants.
- Extended elementary functions.
- Algorithm support functions: iteration, tolerance, convergence
- Double-precision complex number value type.
- Overloaded operators for all arithmetic operations.
- Static operator functions for languages that don't support operator
- Extension of functions in System.Math to complex argument.
- Support for complex infinity and complex Not-a-Number (NaN).
- Complex vector and matrix classes.
Numerical integration and differentiation
- Numerical differentiation.
- Numerical integration using Simpson's rule and Romberg's method.
- Non-adaptive Gauss-Kronrod numerical integrator.
- Adaptive Gauss-Kronrod numerical integrator.
- Integration over infinite intervals.
- Optimizations for functions with singularities and/or discontinuities.
- Six integration rules to choose from, or provide your own.
- Integration in 2 or more dimensions. Updated!
Curve fitting and interpolation
- Interpolation using polynomials, cubic splines, piecewise constant and
- Linear least squares fit using polynomials or arbitrary functions.
- Nonlinear least squares using predefined functions or your own.
- Predefined nonlinear curves: exponential, rational, Gaussian, Lorentz, 4
and 5 parameter logistic.
- Weighted least squares, with 4 predefined weight functions.
- Scaling of curve parameters.
- Constraints on curve parameters.
- Object-oriented approach to working with mathematical curves.
- Methods for: evaluation, derivative, definite integral, tangent, roots.
- Many basic types of curves: constants, lines,
quadratics, polynomials, cubic splines, Chebyshev approximations, linear
combinations of arbitrary functions.
- Real and complex roots of polynomials.
- Roots of arbitrary functions: bisection, false positive, Dekker-Brent and
- Systems of simultaneous linear equations.
- Systems of nonlinear equations: Powell's hybrid 'dogleg' method, Newton's method.
- Least squares solutions.
- Optimization in 1 dimension: Brent's algorithm, Golden Section search.
- Quasi-Newton method in N dimensions: BFGS and DFP variants. Updated!
- Conjugate gradient method in N dimensions: Fletcher-Reeves and
- Powell's conjugate gradient method.
- Downhill Simplex method of Nelder and Mead. Updated!
- Levenberg-Marquardt method for nonlinear least squares. New!
- Line search algorithms: Moré-Thuente, quadratic, unit.
- Linear program solver: Based on the Revised Simplex method.
- Linear program solver: Import from MPS files.
- Real 1D and 2D Fast Fourier Transform
- Complex 2D Fast Fourier Transform
- Special code for factors 2, 3, 4, 5
- Real and complex convolution
- Managed, 32bit and 64bit native implementations
- Over 40 special functions not included in the standard .NET Framework class
- Functions from combinatorics: factorial, combinations, variations, more.
- Functions from number theory: greatest common divisor, least common multiple,
decomposition into prime factors, primality testing.
- Gamma and related functions, including incomplete and regularized gamma
function, digamma function, beta function, harmonic numbers.
- Hyperbolic and inverse hyperbolic functions for real and complex numbers.
- Ordinary and Modified Bessel functions of the first and second kind.
- Airy functions and their derivatives.
- Exponential integral, sine and cosine integral, logarithmic integral.
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