F# Math: NAG Library for .NET, with F# support

The Numerical Algorithms Group have recently released their NAG Library for .NET.  To quote:

The NAG Library for .NET contains mathematical and statistical methods developed by NAG experts to serve the growing number of application developers and users of Microsoft .NET. The methods in the library provide a convenient interface to fast and efficient algorithms that enhance application capabilities and reduce crucial development time.

As a general .NET library, this is an important addition to the set of tools that F#, C#, VB and other .NET programmers can use for math-oriented programming. (Note, if you have other math-oriented libraries that you can use with F# and you'd like me to blog about, or updated information on existing libraries, please let me know)

From the perspective of F# users, one really important thing is the inclusion of documentation describing the use of the library from F#. Here are some of the samples on the NAG site:

F# — NAG Library for .NET

    A00: Licence Check Example

    D01: Quadrature Example

    E04: Optimization Example

    Monitoring Function (e04cb example)

    Internal Monitoring (e04xa example)


Some of the capabilities of the NAG library are listed on the NAG website, and included below:

  • Local and global optimization
  • Statistics including:
    • nearest correlation matrix
    • regression analysis
    • time series analysis
    • copulas
  • Pseudorandom number generators
  • Quasi-random number generators
  • Wavelet transforms
  • Special functions
  • Numerical integration (Quadrature)
  • Roots of one or more transcendental equations
  • Summation of Series
  • Least-squares and eigenvalue problems
  • Curve and surface fitting
  • Linear equations
  • Interpolation

The NAG Library for .NET is available for Microsoft Windows 32 and 64-bit systems.



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