The Numerical Algorithms Group (NAG), revealed its new NAG C Library, which offers programmers more than 1000 embedded numerical routines.
“Mark 8 of the NAG C Library is another significant advance in functionality from NAG, particularly for those in finance and business analytics,” said Rob Meyer, CEO of NAG.
The numerical library will be available for 64-bit and 32-bit applications and feature compatibility with the latest compilers. The NAG C Library, Mark 8 is meant to benefit anyone needing to add mathematical and statistical functionality to their applications.
The extended optimization chapter incorporates enhanced sparse matrix techniques, critical for efficiently solving problems that involve a very large proportion of zeros in the constraint or objective functions. A typical example is in a portfolio optimization problem where a constraint exists on the percentage of the portfolio invested in stocks within a given country. In such a problem there will be holdings specified for many stocks but most will be zero making the problem large but also predominantly sparse in nature.
The linear regression chapter in the NAG C Library has been broadened with the inclusion of routines for stepwise linear regression and mixed effects regression. Stepwise regression allows for the automatic selection of subsets of independent variates and is ideal for analyzing datasets with a large number of independent variates. The mixed effects regression routines allow the fitting models that contain both random and fixed variates; a type of modeling that is currently used in a wide range of disciplines.
NAG’s C Library is available for PCs and supercomputers, covering Windows, Linux and major Unix platforms, ensuring that NAG’s users are not constrained to a particular environment.