ALGLIB - Numerical Analysis Library:
ALGLIB math function library (v. 3.5.0) ported to MQL5. ALGLIB is one of the largest and most complete mathematical libraries
Do you need to make a fast Fourier transform or to solve a
differential equation system? Do you perform a complex data analysis
trying to gather all methods in one place as a source code? Then ALGLIB library of numerical methods is for you!
ALGLIB library is being constantly enhanced, new functions and
improvements according to users' comments are implemented regularly. The
latest version is 3.6.0.
I need to find eigenvalues of below matrix:
2 3 2
10 3 4
3 6 1
how can I apply this library on this matrix? (non-symmetric matrix)
Thank you very, very much for this great article and the attached code! This will surely be the main tool for my planned MQL5 codes, and prevents me from going the C++-to-DLL-to-MQL5 way.
Regarding the previous question: there is a function named "NonSymmetricEVD" in the linalg.mqh file, which is not referenced in the text. Simply use this routine.
I have a further question: the newest version of the alglib seems to be 3.8.2., whereas according to the text the ported version is 3.5.0.
Are there plans for updating the ported code?
Thanks in advance,
Thank you @Rashid Umarov
I recommend all to go to the website, because this thread has been updated for 3 years, but the website keeps updating.
We've done a complete overhaul of the GPL C++-based version of the ALGLIB library, releasing it as ALGLIB++.
This tracks the latest version of ALGLIB, which is at 3.16.0, as of 2019/12. Much has been added in the Optimization and Interpolation
modules since the earlier versions that MQL5 is synched up to (e.g. point-cloud splines(!), more inverse distance weighted interpolation
methods, numerous additional optimization methods, etc.)
ALGLIB++ is a derivative of ALGLIB that is being used as an intermediate form in a longer-term reengineering/refactoring process, in which it will
be recoded into native C++ (similar to where it was before Version 3), the extra layer and duplication being removed in preparation of
providing more direct support for multi-threading, as well as additional tests and modules and eventually a scripting language front end.
The different language versions of ALGLIB were all generated from a common core, with the C++ version providing limited (but unofficial)
support for the C90 dialect of C. This feature made it necessary to simulate, within C, features that would otherwise be native to C++, and
then to provide a C++ wrapper on top of this. Correspondingly, there are two separate name-spaces:
alglib_impl, which contains the C version, and
alglib, which contains the C++ wrappers. ALGLIB++ has retained most of this structure and as much of the original coding as
possible, but has reduced or eliminated much of the global infrastructure as a first step for its elimination and replacement by
multi-threaded native C++ code and has significantly simplified the C++ wrapper interface. As such, it represents an intermediate form
bridging between ALGLIB, itself, and the future library that ALGLIB++ is being transformed into.
Many issues that lead to a growth of complexity in ALGLIB, since (and prior to) the versions adapted by MQL5, have been resolved, with a
resulting simplification in structure and reduction in complexity. In its present form, it should prove easier to adapt to MQL5, by those
who are currently maintaining the MQL5 version of ALGLIB.
Included with the distribution is a complete reformatting of the manual for ALGLIB++ from the ALGLIB C++ original. The sections on the packages and
subpackages, however, are compatible with both versions of ALGLIB, and the layout and content should both be easily adapted to the MQL5
version. MQL5 gets a shout-out in the "References & Related Links" section of the manual.
The latest version may be found at https://www.github.com/LydiaMarieWilliamson/ALGLIB_cpp ... bear in mind that, at present, it is
undergoing continual reengineering and refactoring at a fairly rapid pace, and this will remain the case for a while longer. The timestamp
of the latest revision is always kept in the README file.
The recoded version will eventually be expanded into a larger library that will include more features and applications dedicated to Machine
Learning, advanced Digital Signal Processing, Graphics and Sound Processing and Natural Language Processing. We are also preparing a C++
translation of LAPACK, to be called LAPACK++, for future integration into ALGLIB++. Other libraries, including MKL (which has neural net
routines, by the way) are also under consideration for future integration.
When you adapted ALGLIB to MQL5, you ran into difficulties with the "RCOMM" routines.