NAG December 2012


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Presentation given to Eduserv's Maths and Stats Software Focus Group in December 2012 by David Humphris and David Sayers of the Numerical Algorithms Group (NAG) on how NAG experts take the pain out of solving complex mathematical problems. NAG software is available as a site licence to all universities and colleges under the Chest Agreement.

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  • Top new items for MK23   2D wavelets – further extension to these important tools (2Diimensional wavelets are mostly for image processing)   Sparse Matrix functions – the quality of the NAG implementations   Optimisation - BOBYQA - of particular use with noisy functions Global Optimisation Optimisation – Multi-start – a robust approach Optimization - PSO – Particle Swarm Optimization is still somewhat experimental. Particle Swarm Optimization is one of the best of the stochastic approaches. This NAG implementation is probably the most robust available since it also calls local optimization routines as part of the approach. PSO is only relevant to very high dimension problems with lots of noise   Quantile regression - One advantage of quantile regression, vrs least squares regression (that is also in the NAG Lib.) - quantile regression is more robust against outliers in the response measurements   L’Ecuyer MRG32K3a generator – a very efficient random number generator (note those who already use Mersenne Twister may be unlike to change – they benefit from the new ‘skip ahead’ approach.)   NCM – performance improvements for Nearest Correlation Matrix – allow for use of weighted norm & factor structure
  • “ might want to suggest an example under function handles; e.g. when specifying a function as an integrand in quadrature, or an objective function in optimisation” NAG Toolbox for MATLAB® additional new features Function Handles In previous versions of the toolbox, users had to provide some parameters as m-files. While this functionality is still supported, users may also provide parameters as function handles. Exceptions In previous versions of the toolbox we issued warnings when problems arose. Many MATLAB users like to use try ... catch ... end blocks to handle exceptions. By default, we now only use warnings in cases where the output values may be of use (for example in determining the cause of the problem, or as a ‘warm start’ in subsequent calls to the function), or where the function has found a solution but there are caveats, for example as to its accuracy. In all other cases we now throw an exception. This functionality can be turned off if the user prefers the old-style system, for more details see nag_issue_warnings. Integer Types We have introduced some Integer utility functions to help write programs that are portable between 32 and 64-bit platforms. New format for examples All examples are now provided as single functions, rather than a collection of M-Files. Many examples have been updated. Long names We have introduced longer names for all NAG Toolbox functions. By default the documentation will show both the long and short forms.
  • NAG December 2012

    1. 1. NAG Presentation – Maths and Statistics Working Group David Humphris and David Sayers 5th December 2012 Experts in numerical algorithms and HPC services
    2. 2. Agenda Product Portfolio and Recent News What’s coming in the next release? Current Agreement Training available to UK Academia Collaborations and Sponsoring 2
    3. 3. Current Product Portfolio Numerical Libraries NAG Fortran Library  NAG C Library  NAG Toolbox for MATLAB  NAG Library for .NET NAG HPC Library  Library for SMP & Multi-core NAG Fortran Compiler and GUI based Compiler (Fortran Builder) Consultancy Services & other available code 3
    4. 4. NAG Libraries Ease of Integration C++ (various)  Excel C# / .NET  MATLAB Visual Basic  Maple Java  LabVIEW Borland Delphi  R and S-Plus F#  SAS Python  Simfit …  … …  and more and more 4
    5. 5. NAG and ExcelOur libraries are easily accessible from Excel: Calling NAG DLLs using VBA  NAG provide VB Declaration Statements and Examples  NAG provide add-ins:  Stats & Survival Analysis  And examples:  Local volatility, Variance Gamma, NCM, … Calling NAG Library for .NET using VSTO functions with Reverse Communication (useful for Solver replication for example) Create NAG XLLs 5
    6. 6. Recent News Updates  NAG C Library, Mark 23  NAG Fortran Library Mark 23  NAG Toolbox for MATLAB Mark 23  NAG Library for SMP and Multi-Core Mark 23  Fortran Builder Release 5.3, for use with both 32 and 64-bit Windows In the near future  Release 2 of the Library for .NET  NAG from JAVA  Fortran Library Mark 24 6
    7. 7. NAG Library : new in Mark 23Mark 23 has new functions in many areas including... * only available in NAG C Library & Toolbox (at MK23) 7
    8. 8. NAG Library : new in Mark 23Mark 23 has new functions in many areas including... * only available in NAG C Library & Toolbox (at MK23) 8
    9. 9. NAG Toolbox mk23: Ease of use improvements Function Handles  In previous versions of the NAG Toolbox for MATLAB, users had to provide some parameters as m-files. While this functionality is still supported, users may also provide parameters as function handles. Better Exception handling Integer Utility introduced  Making it easier to write portable code between 32 & 64 bit platforms Improved example programs and long names 9
    10. 10. What’s Coming in the Next Releases FFT, Wavelets Quadrature, quadratic eigenvalue routines* Threadsafe ODE routines Radial basis functions Multi-start global optimisation Vectorised special functions Semi Definite Programming* More Matrix functions Brownian Bridge & Random Fields More Nearest Correlation Matrix* … 10
    11. 11. Current Agreement New Simpler Agreement from 2010  Based on per operating system  Old agreement based and restricted on number of implementations  Site and Department Licence Options  Unlimited usage for all students and staff on their desktops, laptops, and home machines  30 out of the 38 Universities signed up to the new style agreement 11
    12. 12. Training available to UK Academia Free Training Workshops available to all Universities signed up to Site and Department Licences  We are happy to travel to Universities to give seminars / hands-on training sessions Example Training Courses  Using NAG Toolbox for MATLAB Seminar and Hands-on Session  Using the NAG Library for Excel Seminar and Hands-on Session  An Introduction to Multicore Programming & The NAG Library for SMP & Multicore Seminar  CUDA / OpenCL /GPUs*  .... and more 12
    13. 13. Academic Collaborations & Sponsoring of PhD’s NAG works in Collaboration with various Academic sites including...  University of Manchester, Nick Higham  UCL, William Shaw  University of Aachen, Uwe Naumann  University of Birmingham, Michael Kocvara  … Sponsoring PhDs and MSc Projects 13
    14. 14. NAG Technical Tips David Sayers 5th December 2012Experts in numerical algorithmsand HPC services
    15. 15. Agenda Any NAG-specific questions? Toolbox for MATLAB technical tip The NAG Fortran Compiler/ Fortran Builder 15
    16. 16. Any NAG specific questions 16
    17. 17. Toolbox for MATLAB technical tip 17
    18. 18. The NAG Fortran Compiler/ FortranBuilder 18
    19. 19. Ways to contact us: Technical Support and Help Account Manager NAGNews: Twitter: Blog: in numerical algorithms LinkedIn:and HPC services