World-class performance with IMSL C Numerical Library
22 February, 2006
IMSL C Numerical Library Version 6.0 now comes with World-class Linear Programming Optimisation Technology and Advanced Forecasting Package, Including Neural Networks and Auto_ARIMA.
IMSL C Numerical Library, used worldwide for data analysis in finance, technical, and business environments,now includes advanced forecasting techniques as well as breakthrough optimisation technology. With neural network and Auto_ARIMA capabilities, and the industry’s fastest dense linear programming algorithm in a general-purpose library, the IMSL C Numerical Library 6.0 helps companies in financial services, insurance or inventory management cost-effectively develop applications for portfolio optimisation, risk modeling, and trading systems.
World-class High Performance Linear Programming Optimiser
IMSL C Numerical Library is the world's fastest general mathematical library. Studies using 91 dense linear programming problems from Netlib verified its robustness and performance. IMSL succeeded in solving all 91 problems with no failures while another leading dense linear programming solver solved 56 and failed on 35. Of the 44 problems that could be measured by time, IMSL solved them over 10 times faster, on average. Now C and C++ programmers can achieve world-class performance with advanced mathematical and statistical numeric subroutines written in native C
Key new features of IMSL C Numerical Library 6.0 include:
- Neural Network Engine - mimics human problem-solving processes by applying knowledge gained from historical data to new problems, which fine-tunes forecasting accuracy over time. Visual Numerics’ neural network technology features advanced data pre-processing to simplify data mining preparation and ensure optimal accuracy and performance, saving significant time over manual pre-processing. This technology is optimal for highly configurable data mining and forecasting with no limits on network size
- Dense Linear Programming Optimiser - for state-of-the-art constrained dense linear programming optimisation. This version of IMSL C Numerical Library offers the world’s fastest optimiser of its kind in a general mathematical library. In 2005 tests, IMSL solved 46 example problems in one-eighth the time of a leading Linear Programming Optimiser product. Also includes MPS format readers to facilitate usage with existing users of Linear Programming and will be welcomed by capital markets customers doing portfolio optimisation, trading systems and risk modeling
- Auto_ARIMA - advanced forecasting routine for time series analysis. It is highly suited to situations where data is prone to seasonality “spikes” or “outliers” such as operations management or inventory planning
- Differential Equations Package - financial engineering and scientific computing
- New random number generator technique using Mersenne Twister algorithm
- New LAPACK (Linear Algebra PACKage) functionality
"By adding fully-tested linear programming optimisation, neural network capabilities and Auto_ARIMA, we’re able to make our IMSL C Library a much more powerful and cost-effective option for companies who need state-of-the-art forecasting applications,” said Phil Fraher, president and CEO of Visual Numerics. “IMSL C Numerical Library 6.0 leverages the proven reliability and easy deployment of our industry-leading IMSL library but with added technology that make it even better for performing predictive analytics.”
About The IMSL C Numerical Library
The IMSL C Numerical Library provides advanced mathematical and statistical functionality for programmers to embed in applications that are written in one of the most important mainstream programming environments in use today, C/C++. This comprehensive set of thread safe functions is based upon the same algorithms contained in the highly regarded IMSL Fortran Library.
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