Friday, December 21, 2007

announcement: cl-numlib

cl-numlib is a collection of functions I have been using for numerical methods. I wrote functions for rootfinding, integration, univariate (Brent, Newton) and multivariate (BFGS) optimization, numerical integration, some functions for generating random numbers and a few utility and miscellaneous functions. This is not a translation from Fortan: everything in the library was written from scratch. There are two reasons for doing this: I learned a lot in the process, and I find it much easier to change things in the algorithms when I need to (when working with numerical methods, this is very useful). There is no separate documentation, but all the functions are well-documented with examples and references where appropriate. This library is in alpha stage, this means that I tested all my functions and found no bugs, but that of course doesn't exclude the possibility of there being any. Comments, suggestions and bugreports are welcome.


  1. Awesome! An BFGS implementation for CL is great. Is it LBFGS or a full memory version?

  2. Full memory. L-BFGS would not be difficult to write, the tricky part was the linesearch.