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ojAlgo v24: Linear Algebra, Optimisation and Maths for Finance

09.19.2008
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Version 24 of ojAlgo has been released (not too long ago) and work on Version 25 has begun.

ojAlgo is Open Source Java code that has to do with mathematics, linear algebra and optimisation particularly (but certainly not exclusively) suitable for the financial domain.

The core of ojAlgo is a linear algebra framework complete with various matrix decompositions and the ability to use double, BigDecimal or ComplexNumber (an ojAlgo implementation) as matrix elements.

The linear algebra framework is built using highly efficient multidimensional arrays.

Built on top of the linear algebra framework ojAlgo contains models and solvers for quadratic optimisation problems, and on top of that finance specific models/solvers for portfolio selection.

There's lots more; time series, random numbers, stochastic processes, polynomials as well as code to interact with Excel, JFreeChart and AMPL.

 

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