Mark 22 of the NAG Numerical Library released

March 26th, 2009 | Categories: math software, NAG Library | Tags:

The first couple of implementations of Mark 22 of the NAG (Numerical Algorithms Group) Library have been released today.  Although written in Fortran, this set of highly regarded numerical routines can be called from many languages including Java, Python and Visual Basic.   Products also exist to allow you to call the NAG routines from MATLAB and Maple but these haven’t been updated yet.

NAG divide the functionality of their library into a series of chapters such as local optimisation, random number generators and smoothing in statistics. This latest version of the library adds three completely new chapters along with additions to many of the existing ones. The new chapters are

  • Wavelet Transforms
  • Global Optimisation (That’s right – GLOBAL optimisation!  No longer are you restricted to local optimisation problems)
  • Further linear algebra support routines

Of the 192 new functions that NAG have added to this release some of the ones that caught my eye include

  • Evaluation of Lambert’s W function for real values.
  • A new routine for computing the matrix exponential of a real-valued matrix.
  • A routine to compute the nearest correlation matrix to a real square matrix.
  • A suite of routines for evaluating various option pricing formulae.
  • A new routine for performing ProMax rotations.
  • Improved quasi and pseudo random number generators.

A full description of all of the new stuff can be found on NAG’s website.  So far you can only get 32bit and 64bit Linux versions of Mark 22 but I expect other versions to be available soon.

I make no attempt to hide the fact that I am a big fan of NAG and their products and this latest release adds a lot of great new functionality. Enjoy!

  1. z
    March 31st, 2009 at 20:29
    Reply | Quote | #1

    Sounds great!
    Is it free or open-source?

  2. Mike Croucher
    March 31st, 2009 at 22:16
    Reply | Quote | #2

    Nope but NAG are a not for profit company and University site licenses are extremely cheap! They also release a lot of their code into the public domain – I believe they have contributed a lot of code to LAPACK for example (could anyone out there confirm this for me).

  3. April 8th, 2009 at 13:35
    Reply | Quote | #3

    You are correct, two of us at NAG were part of the original LAPACK project, Jeremy Du Croz and myself. You will find our names on the LAPACK Users’ Guide. We, and others at NAG, have continued to contribute to LAPACK. Jeremy has now retired, but continues to contribute.

  4. Mike Croucher
    April 8th, 2009 at 14:05
    Reply | Quote | #4

    Thanks for the clarification Sven.