Numerical libraries for C#

[Yoda]

Greetings.



I suppose that every C# programmer requires

a numerical library to handle things like complex

numbers, linear algebra, random number

generators, statistics, optimization, etc.



What libraries are people using? I have found

two: Extreme Optimization and CenterSpace.

Both cost around $1000 but the latter is open

source, which will make it a better choice for me.



Regards,

Yoda.

[DrBen]

There are now a large number of vendors including my software available

at (sorry for plug):



http://www.webcabcomponents.com



The best source for finding C# component vendors in particular (and

software components in general) is Google!, ideally there would be a

active review site but this have never caught on.

[Cuchulainn]

DrBen,

Maybe this could be a good site for posting new C# libraries



Chart control library



http://code.msdn.microsoft.com/mschart

[Cuchulainn]

Multithreaded libraries



Download: http://www.microsoft.com/downloads/deta ... laylang=en



More info: http://msdn.microsoft.com/en-us/concurr ... fault.aspx

[Excel4Net]

Greetings.



I suppose that every C# programmer requires

a numerical library to handle things like complex

numbers, linear algebra, random number

generators, statistics, optimization, etc.



What libraries are people using? I have found

two: Extreme Optimization and CenterSpace.

Both cost around $1000 but the latter is open

source, which will make it a better choice for me.



Regards,

Yoda.

Hello Yoda,



I've been using Extreme Optimization 2.2 and 3.0 for some time and it seems like a good library, thought might not be very elegant from a developer's point of view (e.g. inheritance hierarchy does not look as it was well thought out), but it works well, reasonbly simple to get started and use. Never had any major issues with it.



Some of the functions come in two versions: managed and unmanaged (CPU native) versions (apparently for performance reasons) - but I had never used the unmanaged functions - so I can't comments how good or fast unmanaged-native bits are.

[DrBen]

Cuchulainn,



Great links, having a multi-threading enabling tool would be very handy for C#. Also, the chart DLL looks very polished but MS usually leaves such gaps in the product market for others to fill. Just to create a separate eco-system from itself. I cannot see how all those charting component vendors will be able to compete with MS Charting component over the long term.



Best Regards,



Ben

[JLMARTIN]

Hi all,



any recommendation for connecting C# to MS SQL? I ussually use an object of Linq to SQL class, but I guess there must be something more complete



Regards

[Cuchulainn]

hi JL,

This book is a good place to start

http://www.amazon.com/ADO-NET-Cookbook- ... 0596004397



I have done C# and ADO.NET for SQL Server, Access, MySQL and even Excel and it was a wonderful experience. Very intuitive.



It is also easy to port C# to Managed C++/CLI as well.



hth



Daniel

[JLMARTIN]

Hi Daniel



Thanks for the info



My experience with ADOs is with VBA, and althoug they're easy to deal with, I had to writte a wrapper for every table I had...



I also did some examples with C++ and again, I had to writte a wrapper...



For .NET however, I just add the table I want to use as an object and that's it. At least for me it's easier



Anyway, Thanks for the book Daniel, it seems it's a good resource



Regards

[Cuchulainn]

With C# (or even Managed C++) ADO.NET is a piece of cake.

[JLMARTIN]

Hi Daniel



I just come to you again.



I have a surface (i.e. s=f(x,y)) that I need to fit with a polynomial function using levenberg-marquardt algorithm.



In matlab it's quite easy, since I use lsqnonlin function, but I'm getting desperated to do this in C#



Any idea?



I read that alglib has this algorithm but I just see the example to fit a curve (i.e. s=f(x)) not a surface...



Any idea?



thanks!!

[JLMARTIN]

Hi Daniel



I just come to you again.



I have a surface (i.e. s=f(x,y)) that I need to fit with a polynomial function using levenberg-marquardt algorithm.



In matlab it's quite easy, since I use lsqnonlin function, but I'm getting desperated to do this in C#



Any idea?



I read that alglib has this algorithm but I just see the example to fit a curve (i.e. s=f(x)) not a surface...



Any idea?



thanks!!

Hello



any idea I can start from?



thanks!

[Cuchulainn]

JL,

Can you describe the problem? Is it interpolation and/or minimisation?



And/or a typical scenario?

[JLMARTIN]

Thanks for your reply Daniel



Using matlab (lsqnonlin) I fit an implied vol surface (of an eqquity) using a function y=f(moneyness, ttm) (i.e. two variables).



The way I do this is by a least square minimisation. I've checked internet (your book too) but all I find are examples of fitting a curve (i.e. y=f(x) one variable).



Even I tried QuantLib but couldn't modify the algortithm to work for surfaces succesfully...



I've checked alglib out as well, but it seems the same, it has minimization for one variable functions ut not for two variable functions



any idea where I can find something similar?

[Cuchulainn]

Hi JL,



Offhand, is ROOT (from CERN) a possibility?



http://root.cern.ch/root/html/tutorials ... ion.C.html



D



also www.oonumericcs.org