## 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.

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

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

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