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Recommended math/statistics library for C#

Posted By rsheftel 6 Years Ago
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Posted Tuesday August 19 2008
As I transition to C# as part of moving to RightEdge, I wanted to get people's recommendations for a good all purpose math-statistics library in C#. I have used R in the past for statistics work, and it is great and seems market standard. For financial math I use FinCAD.

I am looking for the equivalent of a standard math-statistics package for C# to use with RightEdge. Any and all suggestions are welcome. I have run across http://www.gnu.org/software/gsl/ the GNU Statistical Library, but before I commit to something I wanted to get people's suggestions.

phg
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Posted Tuesday August 19 2008
Good question. I am not aware of open source libraries, but commercially there is http://www.extremeoptimization.com/ . I have not used any of their stuff and know nothing about it.

-Pete

See also Yahoo group about applying RE.

Posted Tuesday August 19 2008
I'm a little green in the arena as well, but some folks I've talked to still like MatLab.  They allegedly have COM interfaces, so it can be used with RightEdge.
Posted Sunday August 31 2008
After much investigation and googling I found the following:

http://www.gnu.org/software/gsl/

http://www.extremeoptimization.com/

http://www.alglib.net/

http://www.sciencecode.com/

http://www.nag.co.uk/netdevelopers.asp

http://root.cern.ch/

http://ta-lib.org/

And if you want to bridge C#<>Java

http://commons.apache.org/math/

And this was a useful site for searching:

http://commons.apache.org/math/userguide/index.html

phg
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Posted Monday September 01 2008
Wow. Nice work. I see C# support is stll slim (or pricey): just 2 free libraries. If you (or anyone) picks one of these to experiment with it would be nice to hear about your experience.

-Pete

See also Yahoo group about applying RE.

Posted Monday September 01 2008
We used the Apache Math Commons and JuggerNET (to connect Java to C#). Works well for our needs. Has all of the basic math and stats one would need for trading (mean, standard deviation, etc).

For any slower or batch processesing, you cannot beat R (which links to C# very easily)

Probably going to try the GNU if the Apache ends up lacking.

phg
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Posted Tuesday September 02 2008
Had not heard of JuggerNet before, but that looks like a very cool tool enabling use of Java libraries. For stable libraries especially; convert once and you are all set. Neat.

-Pete

See also Yahoo group about applying RE.

Posted Saturday January 02 2010
There's also NMath from CenterSpace Software.
Posted Friday January 06 2012
Here are a few more for the record.

http://www.componentsource.com/products/nmath-suite/index.html

http://www.centerspace.net/blog/tag/net-math-library/

http://www.cdrnet.net/projects/nmath/

Edited: Sunday January 08 2012 by parliament718
Posted Tuesday January 10 2012
Hi,

And there's this:

http://www.mathdotnet.com/

Regards,

Dave



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