NM Numerical Method

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Notes from the lab

  1. Alpita Agre
    Introduction to Data Science Workbook

    The principal purpose of Data Science is to find patterns within data. It uses various statistical techniques to analyse and draw insights from the data. From data extraction, wrangling and pre-processing, a Data Scientist must scrutinize the data thoroughly. Then, he has the res

  2. Gareth Koh
    Inspiration Behind S2 and NM Dev

    Inspiration behind NM Dev Scripting languages (such as R/MATLAB/Python etc.) come with huge libraries for mathematics built-in and provide users with the ability to interact with data dynamically. On top of that they are very simple to use, even for someone with no programming ex

  3. Ken Yiu
    Transforming a QP Problem to an SOCP Problem

    A Quadratic Programming problem (QP) in the form of \[\begin{aligned} & \underset{x}{\text{minimize}} & & \frac{1}{2} x^T H x + p^T x \\ & \text{subject to} \\ & & & A_{eq} x = b_{eq} \\ & & & A x \geq b \end{aligned} \] where \[H \in \Re^{n \times n}, A \in \Re^{m \times n}, p,

  4. Henry Morco
    Fastest Java Matrix Multiplication

    Introduction Matrix multiplication occupies a central role in scientific computing with an extremely wide range of applications. Many numerical procedures in linear algebra (e.g. solving linear systems, matrix inversion, factorizations, determinants) can essentially be reduced to

  5. Haksun Li
    SuanShu is the Best Numerical and Statistical Library, ever!

    a picture is worth a thousand words…   Check out the release notes here: http://numericalmethod.com/forums/topic/suanshu-3-0-0-is-now-released/   Happy birthday to me 🙂

  6. Haksun Li
    Change of Measure/Girsanov’s Theorem Explained

    Change of Measure or Girsanov’s Theorem is such an important theorem in Real Analysis or Quantitative Finance. Unfortunately, I never really understood it until much later after having left school. I blamed it to the professors and the textbook authors, of course.  The textbook v

  7. Ken Yiu
    Using SuanShu on Amazon EC2

    Cloud computing is very popular nowadays. Delegating your CPU-intensive computation (or simulation) to the cloud seems to be a smart choice. Many of our users asked if SuanShu can be run on Amazon’s Elastic Compute Cloud (EC2), because SuanShu license requires a MAC address and t

  8. Kevin Sun
    On White’s (2000) Reality Check

    I was asked the following question the other day on White’s reality check. QUESTION: I was reading White’s (2000) paper (http://www.ssc.wisc.edu/~bhansen/718/White2000.pdf). It seems to suggest that to examine the pnl characteristic of a strategy, we should do bootstrapping on th

  9. Haksun Li
    Java vs c++ performance

    It is very unfortunate that some people are still not aware of the fact that Java performance is comparable to that of C++. This blog piece collects the evidence to support this claim. The wrong perception about Java slowness is by-and-large because Java 1 in 1995 was indeed slow

  10. Haksun Li
    SuanShu Introduction

    Numerical Method Inc. publishes SuanShu, a Java numerical and statistical library. The objective of SuanShu is to enable very easy programming of engineering applications. Programmers are able to program mathematics in a way that the source code is solidly object-oriented and ind

  11. Haksun Li
    Class Parsimony

    Hello World! Today I have my first post ever on the Numerical Method blog. I’d like to discuss a design decision when writing our library. This is to give our friends some insight into how the SuanShu library works. Please leave me feedbacks and comments so that we can continue t