Math.NET Numerics on UserVoice

Add support for cuda

2011-12-13T11:57:19-08:00

Anonymous suggested:
Is this possible to split the matrix multiplication algorithms to use processor and gpgpu all at the same time? It would be an amazing feature to be added.

Clone [updated]

2011-11-16T11:03:08-08:00

Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

Christoph Rüegg said:

Good point though concerning the unnecessary Clone calls, need think about some options there...

Clone [updated]

2011-11-16T09:16:33-08:00

Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

Christoph Rüegg said:

github issue #24

Clone [updated]

2011-11-16T08:58:32-08:00

Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

Christoph Rüegg said:

Clone is just a call to CopyTo. Are we talking about the same codebase?

https://github.com/mathnet/mathnet-numerics/blob/master/src/Numerics/LinearAlgebra/Generic/Matrix.cs#L250

Clone [updated]

2011-11-14T22:12:04-08:00

Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

Lacko said:

Actually, it's Clone and not CopyTo that has to be overridden, as CopyTo might be called with a matrix in another storage format.

I've just started using math.net a few days ago to replace my not so elaborate matrix implementation and mkl wrappers with something that's community supported. I'm pretty much satisfied but the first application already revealed some performance bootleneck. For instance, there's no direct access to the U and Vt matrices of the SVD class, only via a clone call which I think is unnecessary. I'd change the U() function to a simple property. To prevent changes to the matrix (which is probably not a big issue because users of math libs are usually aware of what they're doing) an immutable matrix class could be added to the lib. Unfortunately, changing U() to a property would break the interface. Well, Clone could be removed though. I've changed the clone function to do a block copy instead of an itemwise clone via the At function and still this single Copy uses 5% of my runtime.

I don't know how to contribute to the package but would happily implement some of these changes. Also, I have a piece of robust principal component code that I can port to math.net and make it part of the package if anyone's interested.

Clone [is now planned]

2011-11-14T17:48:55-08:00

Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

Clone [updated]

2011-11-14T17:48:55-08:00

Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

Christoph Rüegg (admin) responded:

Confirmed, managed dense matrix implementations are missing a proper override of CopyTo (some other implementations already do override it). Needs a github ticket.

Clone

2011-11-14T08:12:10-08:00

Lacko suggested:
Override .Clone for the various matrix storage classes. Right now it's in the generic class and calls .At a zillion times instead of just doing an array block copy.

cache cdf in Categorical distribution function [updated]

2011-10-18T03:25:18-07:00

makro said:

ok apparantly this class is depracted, sorry.

add Empirical distribution function (see wiki)

2011-10-18T03:09:44-07:00

cache cdf in Categorical distribution function

2011-10-18T03:00:57-07:00

add regression ( linear, parabolic, etc ) [updated]

2011-09-22T01:51:04-07:00

Solve for the variables.

DP said:

would add to the feature set.

add regression ( linear, parabolic, etc )

2011-09-22T01:50:41-07:00

DP suggested:
Solve for the variables.

add a Math.Ulp function [is now completed]

2011-07-17T14:32:20-07:00

ULP mean Unit in the Last Place. It is implemented in Java and is useful in some cases. Here is some code I have write, but I'm not sure of my implementation : float absX = Math.Abs(value); byte[] bytes = BitConverter.GetBytes(absX); if (BitConverter.IsLittleEndian) bytes[0]++; else bytes[bytes.Length - 1]++; float nextFloatNumber = BitConverter.ToSingle(bytes, 0); return (nextFloatNumber - absX); Take a look at : http://stackoverflow.com/questions/1668183/find-min-max-of-a-float-double-that-has-the-same-internal-representation

add a Math.Ulp function [updated]

2011-07-17T14:32:20-07:00

Christoph Rüegg (admin) responded:

See Precision.EpsilonOf (and .Increment/.Decrement/.DumbersBetween/.CompareTo etc)

add Log Normal distribution [is now completed]

2011-07-17T14:28:14-07:00

add Log Normal distribution [updated]

2011-07-17T14:28:14-07:00

Christoph Rüegg (admin) responded:

LogNormal is available in Math.NET Numerics

implement a real number type that supports exact arithmetic [updated]

2011-07-17T14:20:13-07:00

a real number type that lazily increases its precision when needed up to a maximum user-defined precision.

Christoph Rüegg said:

That would essentially be a fixed-precision number, i.e. a System.Numerics.BigInteger with a fixed number of bits (or maybe digits) shifted virtually to the right of the comma? As opposed to e.g. a rational number constructed as a fraction of two BigIntegers?

Matrix allocation as single array instead of array of arrays [is now completed]

2011-07-17T14:09:26-07:00

Change matrix (and any other) allocation/member from: double[][] to: double[] OR double[,] and handle indexing etc internally. Not having matrix data as one continuous memory area is not a good thing for e.g. interop. Additionally, allocation is a lot slower for many rows.

Matrix allocation as single array instead of array of arrays [updated]

2011-07-17T14:09:26-07:00

Christoph Rüegg (admin) responded:

Math.NET Numerics uses double[] for matrice data storage (mainly for native code compatibility)

Reintegrate the Sparse Linear Algebra toolkit [is now completed]

2011-07-17T14:07:45-07:00

Iridium once supported sparse linear algebra (for a very short time) but then it was temporarily removed because of some issues. Solve them and integrate it back.

Reintegrate the Sparse Linear Algebra toolkit [updated]

2011-07-17T14:07:45-07:00

Iridium once supported sparse linear algebra (for a very short time) but then it was temporarily removed because of some issues. Solve them and integrate it back.

Christoph Rüegg (admin) responded:

Math.NET Numerics supports sparse matrices again

Add methods for linear and quadratic programming [is now under review]

2011-07-17T14:06:58-07:00

Linear and quadratic programming methods are great techniques for minimization problems. Other, more complicated methodologies - such as MPC - can built on top of them fairly easily.

Provide linux packages (for use with mono) [is now planned]

2011-07-17T14:06:17-07:00

Extend the package generation scripts and provide the missing documents (and maybe consider to switch back to a classic version system) to build linux packages (e.g. deb for debian/ubuntu) that will run under mono.

Histogram constructor with buckets. Data is applied to the buckets. [is now under review]

2011-07-17T14:05:42-07:00

I need to create a histogram with buckets from another histogram and expect my data to be counted relative to those buckets.

Savitzky–Golay [is now under review]

2011-07-17T14:04:45-07:00

Savitzky–Golay [updated]

2011-07-17T14:04:08-07:00

Christoph Rüegg said:

I assume you're referring to Savitzky–Golay smoothing filters, as in https://secure.wikimedia.org/wikipedia/en/wiki/Savitzky%E2%80%93Golay_smoothing_filter

Say how to install the DLL and XML files in your download package [is now completed]

2011-07-17T14:00:27-07:00

There are no installation instructions in the downloaded zip file or the chm file within it. What do I use to install the library?

Say how to install the DLL and XML files in your download package [updated]

2011-07-17T14:00:27-07:00

There are no installation instructions in the downloaded zip file or the chm file within it. What do I use to install the library?

Christoph Rüegg (admin) responded:

There are NuGet packages available by now that simplify referncing in VS remarkably.

Savitzky–Golay

2011-06-14T11:00:32-07:00

jbmckim suggested:
?

Histogram constructor with buckets. Data is applied to the buckets.

2011-06-10T09:42:39-07:00

neosimian suggested:
I need to create a histogram with buckets from another histogram and expect my data to be counted relative to those buckets.

Implement a function minimization algorithm [updated]

2011-05-11T03:18:24-07:00

Tom Robinson said:

Optimisation methods would be very useful.

Implement the Efficient Global Optimisation (EGO) Algorithm for Expensive Black-box functions [updated]

2011-05-11T03:10:05-07:00

Tom Robinson said:

This is a general stochastic method for finding the global optimum of an unknown function in any number of dimensions. It is most useful for expensive black box functions (i.e. a objective 'function' which takes minutes/hours for a single iteration).

This method has various added benefits. One being: As the optimisation is performed, a response surface is fitted to the unknown function which can be used as a surrogate for future function evaluations. The 'kriging' response model parameterises the unknown functions input variables in terms of output sensitivity and smoothness.

An outline of the original method is described in:

Jones, D., Schonlau, M., and Welch, W., 1998, “Efﬁcient Global Optimization
of Expensive Black-Box Functions,” J. Global Optim., 13*4*, pp. 455–492.

A copy of which can be found via Google search here:

http://www.ressources-actuarielles.net/EXT/ISFA/1226.nsf/9c8e3fd4d8874d60c1257052003eced6/f84f7ac703bf5862c12576d8002f5259/$FILE/Jones98.pdf

Implement the Efficient Global Optimisation (EGO) Algorithm for Expensive Black-box functions

2011-05-11T02:48:29-07:00

Collection.product

2011-02-10T00:38:04-08:00

dane dang suggested:
/// <summary> /// Returns the cartesian product of the two collections <c>c1</c> /// and <c>c2</c>. /// </summary> /// <param name="c1">Should not be null.</param> /// <param name="c2">Should not be null.</param> public static ICollection Product(ICollection c1, ICollection c2) { if(c1 == null) { throw new ArgumentNullException("c1", string.Format(Resources.ArgumentNull, "c1")); } if(c2 == null) { throw new ArgumentNullException("c2", string.Format(Resources.ArgumentNull, "c2")); } return null; }

ODE Solver(RK4 etc.) [updated]

2011-02-01T09:55:43-08:00

Neil Dalchau said:

I agree with fischi. If the .NET framework is to make inroads into scientific computing, then ODE solvers are mandatory. Having access to ODE solvers in .NET would basically turn me away from Matlab and over to .NET for nearly all of my work.

Allow for performing matrix calculations like in Matlab

2010-12-09T08:06:00-08:00

ODE Solver(RK4 etc.) [updated]

2010-11-27T04:49:22-08:00

fischi said:

ODE solvers are one of the most crucial things. Maybe take some from odepack.
Octave also has a very nice set of solvers. (e.g. radau5)

Add primality test

2010-11-20T22:46:59-08:00

Halfdan Faber suggested:
Add a fast primality test, for example based on Miller-Rabin or similar efficient method.

Implement a peak finding algorithm

2010-09-23T10:27:36-07:00

Add Rotation Matrix and Vector classes for 2D, 3D and generic sized spaces

2010-09-15T08:38:52-07:00

Xeno suggested:
2D and 3D calculations could benefit from optimized functions for Rotation Matrices, 2D and 3D vectors, Solving for Transformation or Rotation Matrices, using Quaternions, and more.

Runge–Kutta methods

2010-09-09T03:13:16-07:00

Evgeni Nabokov suggested:
http://en.wikipedia.org/wiki/Runge%E2%80%93Kutta_methods

how to calculate eigenvectors?

2010-07-26T08:46:23-07:00

lehoangthanh suggested:
I have this code to calculate eigenvalues/vectors, however, it causes some errors when compiled. How can I solve? ---------------------------------------- using MathNet.Numerics; using MathNet.Numerics.LinearAlgebra; class Test { static void Main(string[] args) { Matrix m = new Matrix(new double[][] { new double[] { 10.0, -18.0 }, new double[] { 6.0, -11.0 }}); // alternative way to create the matrix: // double[][] data = Matrix.CreateMatrixData(2, 2); // data[0][0] = 10.0; // data[1][0] = 6.0; // data[0][1] = -18.0; // data[1][1] = -11.0; // Matrix m = new Matrix(data); EigenvalueDecomposition eigen = m.EigenvalueDecomposition; Complex[] eigenValues = eigen.EigenValues; // eigenvalues: 1, -2 Matrix eigenVectors = eigen.EigenVectors; // eigenvectors: [0.894...,0.447...] and [6.708...,4.473...] // alternative way to access the eigenvalues witout the Complex type: // double[] eigenValuesReal = eigen.RealEigenvalues; // real part // double[] eigenValuesImag = eigen.ImagEigenvalues; // imaginary part } }

Implement a real number type that has a variable base. EG would be using binary, or hexadecimal, etc

2010-07-26T02:34:05-07:00

Akshay K. Ramkumar suggested:
Having support for variable bases can result in less computation. Maybe converting to binary or hex for faster computation then moving back? But the support for base variablility would help.

Matrix allocation as single array instead of array of arrays [updated]

2010-07-06T03:52:39-07:00

Greg said:

I have seen benchmarks that show jagged arrays[][] are faster than block arrays[,].

http://www.heatonresearch.com/content/choosing-best-c-array-type-matrix-multiplication

Implement a function minimization algorithm [updated]

2010-07-06T03:46:11-07:00

Greg said:

What do you guys think about a Levenberg–Marquardt algorithm? It wouldn't be to hard to port over.

add function generation for common functions [updated]

2010-07-05T19:03:23-07:00

Add function generations for common functions including number of points, magnitude, and domain. E.g. SquareWaveSignalGeneration( Npoints, x1,x2, mag, offset, freq, etc) GuassianSignalGeneration(...) ErfSignalGeneration(...) sineSignalGeneration(...) TriangleSingalGeneration(...) SawTooth... lorentzian Sync Etc.....

Greg said:

can implement this myself if you the community will review, add and fix it. I have extensive experience with this kinda thing in matlab and labview, so i could just copy their method signatures.

add function generation for common functions

2010-07-05T19:00:27-07:00

an anonymous user suggested:
Add function generations for common functions including number of points, magnitude, and domain. E.g. SquareWaveSignalGeneration( Npoints, x1,x2, mag, offset, freq, etc) GuassianSignalGeneration(...) ErfSignalGeneration(...) sineSignalGeneration(...) TriangleSingalGeneration(...) SawTooth... lorentzian Sync Etc.....

Implement a function minimization algorithm [updated]

2010-04-20T00:33:48-07:00

marcochiarini said:

Hi guys! in my opinion efforts should be addressed to the general formulation:

Min f(x)
x

s.t. g(x) <= K

This wold make Math.NET really powerful.

Regards,

Marco

Add stochastic processes

2010-04-09T05:46:19-07:00

an anonymous user suggested:
Almost all modern financial analysis are built around stochastic processes. There are many processes, some general like time series and some more specific. It would be very useful for people working in the finance field.