New World-Class High Performance Linear Programming Optimizer
- New, state of the art constrained dense Linear Programming Optimizer
- World’s fastest speed in a general mathematical library
- Includes MPS format readers to facilitate usage with existing users of Linear Programming
- Well suited for capital markets customers doing portfolio
optimization, trading systems and risk modeling
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Studies using 91 dense LP problems from Netlib produced the following
robustness and performance results:
Advanced Forecasting Package
- New Neural Network engine for data mining and forecasting
- A technique that takes advantage of repetitive
learning through repeated forecasts and comparisons
against actual outcomes
- Powerful for situations where data contains missing values, short time
periods, inconsistent reporting of data and where the user has multiple
items to predict
- Performance: The table below compares neural network forecast to the
actual order for DRAM chips over a 2-year period
- Auto_ARIMA
- An “expert system” time series forecasting preconditioner and engine
for forecasting situations where automated forecasting is desirable
- Useful for data containing seasonality, level shifts, and outliers
- Automatic selection of model parameters for straightforward usage
- Time series forecasting preprocessing algorithms for
- Outlier detection
- Outlier classification
- Missing value estimation
Differential Equations package for financial engineering and scientific computing
- Useful in customized options pricing algorithm development
- dea_petzold_gear algorithm solves a first order differential-algebraic system of equations using Petzold-Gear method
- pde_1d_mg – solution of systems for PDEs in one dimension, method of lines with variable griddings
Mersenne Twister random number generator technique
- Provides for fast generation of very high quality pseudorandom numbers
New LAPACK functionality
- Conveniently accessible for users coding in C
