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Using the NAG Compiler with the NAG Fortran Library (Mark 24) on Windows

Blog written by David Sayers, NAG Principal Technical Consultant 
Introduction
The NAG Fortran Compiler is an excellent compiler for checking and running your Fortran code. We use it extensively here at NAG to ensure that our code for the library complies with the current Fortran standards.

Personally whenever I have a user problem report that I can’t resolve by inspection my first instinct is to request run the users code with the Compiler. Frequently this identifies the error immediately.
As I am a Windows user, I am able to make use of the Integrated Development Environment (IDE) for the compiler that is provided to our Windows users. We call this IDE ‘NAG Fortran Builder’. One of the nice features of this IDE is its ease of use with the prevailing NAG libraries. To do this the user normally specifies a ‘NAG Library Project’ at creation time; thereafter the relevant settings are made to the compiler, so that either the Windows 64 bit or Windows 32-bit DLLs are used. 
At points in the N…

NAG at SC13

A short summary of news from or about NAG at SC13.


Quick fact: NAG is one of very few organizations that have been at every SC since the series started.



Attacking the HPC skills need: NAG Supercomputing Support Service passes milestone of 2000 course attendees
NAG announces the latest milestone in addressing the skills needs of the scientific computing community with the skills they require to effectively exploit HPC systems - over 2000 attendees have now benefitted from NAG's highly rated HPC training courses under the UK's national Computational Support and Engineering (CSE) Support Service. Read full press release ...


Tutorial on HPC procurement:Room was packed!


New Services to underpin and innovate your numerical computing revealed by NAG
NAG revealed new services to enable users of numerical computing to benefit from NAG's 4 decades of experience and expertise in numerical solutions. NAG has delivered proven solutions in this area through its trusted Numerical Libraries f…

Implied Volatility using Python's Pandas Library

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Python has some nice packages such as numpy, scipy, and matplotlib for numerical computing and data visualization. Another package that deserves a mention that we have seen increasingly is Python's pandas library. Pandas has fast and efficient data analysis tools to store and process large amounts of data. Additionally, pandas has numpy and ctypes built into it which allow easy integration with NAG's nag4py package.

Below is an example using nag4py and the pandas library to calculate the implied volatility of options prices. All the code below can be downloaded to calculate your own implied volatility surface for data on the Chicago Board of Options Exchange website.


Background on Implied Volatility

The famous Black Scholes formula for pricing a Call/Put option on a stock is a function of 6 variables; Underlying Price, Interest Rate, Dividends, Strike Price, Time-to-Expiration, and Volatility. Note that for a given option contract we can observe the Underlyi…

NAG Toolbox for MATLAB® documentation for the Mark 24 release

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A look at the documentation features in the new, Mark 24, release of the NAG Toolbox for MATLAB®.MATLAB Documentation Help CenterRecent versions of MATLAB have a new documentation system known as the Help Center. This, however is restricted to products from MathWorks; third party extension toolboxes such as our NAG Toolbox for MATLAB® are now documented in a separate help application for Supplemental Software. This has necessitated changes in the way the NAG Toolbox documentation is packaged and installed, and we have taken the opportunity to update the system generally. This post explores some of the new features.Installation DirectoryPrevious releases of the Toolbox have, by default, installed in the toolbox directory of the MATLAB installation on the user's machine. Due to changes in the MATLAB system this does not work for releases after R2012a. So by default the new Mark 24 release of the NAG Toolbox installs under a top level NAG directory in a similar location to our other …

How do I know I'm getting the right answer?

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Many recent developments in numerical algorithms concern improvements in performance and the exploitation of parallel architectures. However it's important not to lose sight of one crucial point: first and foremost, algorithms must be accurate. This begs the question, how do we know whether a routine is giving us the right answer? I'm asking this in the context of the matrix function routines I've been writing (these are found in chapter F01 of the NAG Library), but I'm sure you’ll agree that it’s an important question for all numerical software developers to consider. First, it's important to note that the term "the right answer", is a little unfair. Given a matrix A stored in floating point, there is no guarantee that, for example, its square root A1/2 can be represented exactly in floating point arithmetic. In addition, rounding errors introduced early on can propagate through the computation so that their effects are magnified. We'd like to be ab…

All the performance comes from parallel processing

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I often use this slide to show why all software has to be aware of parallel processing now.


In short, if your software does not exploit parallel processing techniques, then your code is limited to less than 2% of the potential performance of the processor. And this is just for a single processor - it is even more critical if the code has to run on a cluster or a supercomputer.

This is why NAG provides help to users and developers: training in parallel programming techniques; software development services to parallelize and scale your applications; advice and consulting; and our libraries - parallelized and tuned for a range of processors and co-processors.

A nag4py update

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In a previous post “A quick and dirty way to use the NAG C Library Mark 23 from Python” my colleagues described a method for parsing the NAG C library headers to create Python interfaces using the ctypes modules. Since then we have written a parser in Python to do this, modularised the package into chapters and polished the examples a little. We now have packages for Windows, Mac and Linux available to download.

Python is a great language for getting results quickly. It's often referred to as a batteries included language due to it’s large standard library that includes modules for almost anything you may need. Add that to it’s super clean syntax and the Python Package Index and you can see why it’s so popular. Thanks to packages like Numpy, Scipy and Matplotlib, Python has grown significantly in the area of scientific computing and is gaining ground as the FOSS alternative to MATLAB ®.

Using higher level languages for prototyping such as Python, Matlab or VBA is an excellent way to…

Jenkins comes to NAG

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We build a lot of Fortran and C code as part of our Libraries and Compiler, and we have over 40 years experience in software engineering and in numerical analysis and algorithms. However, not being a large organization means that it can be hard to keep up with the vanguard of new SE methodologies and frameworks. There are some approaches though that seem a no brainer to have as part of the workflow in a modern software company. Convergent evolution can lead to their development and adoption without any prompting from the greater community.

For decades we've followed and benefited from many of the principles of continuous integration (for example, version control and build automation---but no longer with SCCS or shell scripts!) and we've been running a self-hosted and self-maintained manager for automatic builds since the early 2000s. But we began to find the system showing its age and straining at the seams. The build manager uses dumb ssh-ing to launch each build on a slave, …

A quick but dirty way to use the NAG C Library Mark 23 from Python

I get requests about using NAG from python from time to time, and NAG strives to make its algorithms as accessible as possible from a wide variety of languages and platforms. Python is no exception. While we don’t yet provide a fully documented python API replete with examples and so on, there is a quick but dirty way to get NAG C Library python bindings covering every library algorithm, struct, and enum.My starting point was the old PyNAG, which is excellent as far as it goes. It is also for the older Mark 8 library -- which none of you out there in userland should be using. PyNAG also looks a bit labor-intensive to produce for the whole library, which would entirely disrupt my Maynard G. Krebs Cycle. There has to be better way, I thought.And there is! At least on Linux. For this exercise I used our NAG C Library Mark 23 implementation for Linux and gcc, LP64 model, hereafter abbreviated as cll6a23dgl.Here is the method that I used: Step 1 -- Get the ToolsFor this exercise we'll …

ISC'13 Preview - Supercomputing in Leipzig

ISC'13 - the summer's big international conference for the world of supercomputing - is only a few weeks away. As usual, I will be attending, along with several of my NAG colleagues.

This year, ISC will be in Leipzig - a new location. That means as well as the #HPC [do I need hashtags in a blog post???] fun of the conference itself, we will all have to learn the foibles of a new host city. Which bar will replace the cornerstone that was the Radisson Blu in Hamburg? How quickly can we learn the layout of the conference center itself?

More to the point, what will be the big #HPC [there I go again] news stories and themes to watch out for in Leipzig? I have already been interviewed by InsideHPC as an early ISC'13 preview, and have written a blog for the official ISC blog (comparing #HPC and #F1) - but here are some further thoughts.

Take the MIC

Well, as far as big #HPC [getting silly now] news goes, I'm glad I didn't try to write this blog last week! I think the stand…

Calling the NAG C Library from kdb+

Kx Systems was founded in 1993 to address a simple problem: the inability of traditional relational database technology to keep up with escalating volumes of data. This problem is even more acute today, where data records, especially in the financial industry, number in the trillions. To provide users to fast data, the founders of Kx have developed kdb+ and vector-processing programming language 'Q'.

Kdb+ has the ability to quickly process data and for more complex analysis it has access to other programming languages. To call the NAG C Library from kdb+, a wrapper must be placed around the NAG routine, taking care when passing data types. The wrapped functions must then be compiled into an external library. Below is an example for calling a NAG regression routine:

#include <nag.h>
#include <nagg02.h>
#include <string.h>
#include <nag_stdlib.h>
#define KXVER3          // Using version 3, this must come before #include "k.h"
#include"k.h&quo…

Evaluation of non-linear expressions using Excel

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NAG provides VB headers for all the routines in the library allowing them to be called easily from Microsoft Excel given a little knowledge of Visual Basic. Along with the headers, some Excel examples are distributed with the product. You may also find demo worksheets for a variety of routines on the NAG web site.

Combining the ease of use of Excel and the power of NAG routines is a great way of creating simple, flexible interfaces for solving difficult problems. Typically you write VBA code to handle the reading and writing of data to the Excel worksheet and the passing of parameters to the NAG routines. Once this VBA code has been written the problem parameters can be easily changed and tweaked from the worksheet without having to alter any code again.
Routines which take only simple parameters such as scalar values, vectors and matrices can have all their arguments input via the Excel worksheet however for routines that require non-linear expression such as those routines with cal…

3 Years Later

Do you remember those episodes of Friends that consisted entirely of flashbacks - presumably the cast were too busy with other duties that week so couldn't film, or the writers too busy to think up a real story ...

The NAG Blog has been running for just over 3 years now. In that time we have had 118 posts on a wide variety of numerical computing topics including HPC, .NET, customer engagement, GPUs, optimization, and much more.

The most popular posts (pageviews) have often been the most technical ones - including:
ParaView, VTK files and endiannessStoring banded matrices for speedOptimization, statistics, big data and business analytics
On the HPC theme, there have been posts discussing factors of 1000x in performance, describing supercomputing to friends, family and politicians, and the relationship between supercomputers and ice cubes.
I hope you have found our blog to be a nice mix of useful content, occasional fun, and topical thoughts. Do you have a favourite NAG Blog post - o…

NAG Routines in Different Precisions

Written by David Sayers, NAG Principal Technical Consultant


How would you like to call a NAG routine and have the precision it computes in determined by the precision of the arguments? So, for example, your program might contain: r = s15adf(x,ifail) If x were single precision then a single precision would be returned to r. If x were double or quadruple precision then the corresponding double or quadruple computations would be performed. I can imagine a number of scenarios where this facility might be useful, but I invite your comments on how common these might be:
Single precision might be useful as once again single precision calculation becomes faster than double precision. So the user might want to trade accuracy for speed.Secondly, single precision used to be the natural interface to many graphics packages. I am not sure whether this is still the case. Would it be useful to have the capability for this reason?Double precision, the precision now offered, is generally ‘about right’ fo…