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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
Below is a non-exhaustive list of the major features that were added in recent upgrades.
Smaller improvements and additions are not in this list.
New in version 4.2 (December, 2011)
- Automatic differentiation
- Supply functions and constraints as lambda expressions and have gradients computed automatically.
- Backward differentiation with common sub-expression elimination for optimal performance.
- Extensible with built-in support for methods of System.Math and most elementary and special functions in the library.
- Orthogonal polynomials Chebyshev, Gegenbauer, Hermite, Laguerre, Legendre polynomials and sequences.
- Stepwise regression Automatic variable selection for linear regression.
- Contingency tables Both 2x2 and RxC tables are supported.
- Improved SQL Server support Easier deployment.
New in version 4.1 (July, 2011)
- Optimization framework. Provides a generic model for defining and solving optimization problems.
- Quadratic Programming. Solve quadratic optimization models with linear constraints.
- Nonlinear Programming. Optimize nonlinear functions with linear or nonlinear constraints.
- New Decimal functions extend all the functions in System.Math to the decimal type, including sin, cos, exp.
- Improved elementary functions. Evaluate sine, cosine and tangent accurately for huge arguments.
- Iterative sparse solvers Efficiently solve systems with many thousands of variables, optionally using preconditioners.
- New probability distributions LogSeries and Maxwell.
New in version 4.0 (November, 2010)
- Full .NET 4.0 Support. Including samples and projects for Visual Studio 2010.
- Full F# 2.0 Support. Including more than 50 new samples.
- Multi-core Ready. Many algorithms have been parallelized using the .NET Task Parallel Library.
- Improved sparse solvers using fill-reducing column orderings.
- New Sparse Linear Program Solver can solve problems with more than 1 million variables.
- Mixed integer programming.
- New Special functions. Hypergeometric, elliptic integrals, Fresnel, Riemann zeta.
- FFT Window Functions.
New in version 3.6 (February, 2010)
- Single-preicision vector and matrix library
- Non-negative Matrix Factorization (NMF)
- Non-negative Least Squares (NNLS)
- Numerical integration in 3 or more dimensions
New in version 3.5 (October 2009)
- Full .NET 3.5 Support. Including samples and projects for
Visual Studio 2008.
- Ordinary Differential Equations. Integrate stiff and non-stiff
systems of Ordinary Differential Equations (ODE's) using our state-of-the art
- Improved Curve Fitting. We made our algorithms more robust, and added
new features, including confidence and prediction bounds.
- Time Series Models. Exponential smoothing and ARIMA
(Auto-Regressive Integrated Moving Average) models.
New in version 3.1:
- Arbitrary precision numbers. BigInteger, BigRational, BigFloat.
- Generic Arithmetic Framework. Write algorithms that can use any
- Generic Linear Algebra. A complete generic vector and matrix
- 2D Numerical Integration.
- Generalized Linear Models. Poisson regression, probit regression and
New in version 3.0:
- 2D Fast Fourier Transforms. Compute 2-dimensional FFT's using managed
or native code.
- Multivariate Statistical Analysis. Principal Component Analysis
(PCA), K-means Clustering, Hierarchical Clustering.
- Multivariate Probability Distributions. Multivariate normal and
New in version 2.1:
- Sparse Matrix Library. Efficiently calculate with huge, sparse
- Linear Programming. Our dense LP solver is second to none.
- Fast Fourier Transforms. Compute 1-dimensional FFT's using managed
or native code.
New in version 2.0:
- Matrix Debugger Visualizer. Inspect the elements of a matrix at
debug time in table form. (screen shot)
- Generic interfaces. For example, all collection classes support
the appropriate IList<T> interface.
- New structured matrix types. Perform calculations on band
matrices and diagonal matrices more efficiently.
- Sort and filter data. New methods give you complete
control of which observations are included in your statistical calculations.
- Logistic Regression. Predict binary outcomes in terms of one or
- Nonlinear Regression. An extension of our nonlinear curve fitting
classes that gives you full access to the statistical properties of your model.
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