Friday, December 21, 2007
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.