OjAlgo

OjAlgo

Original author(s)	Anders Peterson
Stable release	v37.1 / January 31, 2015
Operating system	Cross-platform
Type	Library
License	MIT License
Website	ojalgo.org

oj! Algorithms or ojAlgo, is open source Java library for mathematics,^[1][2] linear algebra and optimisation. It was first released in 2003 ^[3] and is 100% pure Java source code and free from external dependencies. Its feature set make it particularly suitable for use within the financial domain.

Capabilities

• Linear Algebra in Java
  • "high performance" multi-threaded feature-complete linear algebra package.
• Optimisation (mathematical programming) including LP, QP and MIP solvers.
• Finance related code (certainly usable in other areas as well):
  • Extensive set of tools to work with time series - CalendarDateSeries, CoordinationSet & PrimitiveTimeSeries.
  • Random numbers and stochastic processes - even multi-dimensional such - and the ability to drive these to do things like Monte Carlo simulations.
  • A collection of Modern Portfolio Theory related classes - FinancePortfolio and its subclasses the Markowitz and Black-Litterman model implementations.
  • Ability to download data from Yahoo Finance and Google Finance.

Usage Example

Example of Singular Value Decomposition (SVD):

SingularValue<Double> svd = SingularValueDecomposition.make(matA);
svd.compute(matA);

MatrixStore<Double> U = svd.getQ1();
MatrixStore<Double> S = svd.getD();
MatrixStore<Double> V = svd.getQ2();

Example of matrix multiplication:

PrimitiveDenseStore result = FACTORY.makeZero(matA.getRowDim(), matB.getColDim());
result.fillByMultiplying(matA, matB);

References

1. Takaki, M.; D., Gheyi, R., Iyoda, J., d’Amorim, M., Prudêncio, R. B. (2010). "Randomized constraint solvers: a comparative study". Bioinformatics. 6 (3): 243–253. doi:10.1007/s11334-010-0124-1. Cite uses deprecated parameter |coauthors= (help)
2. Vanek, O.; B., Jakob, M., Pechoucek, M. (2010). Transiting areas patrolled by a mobile adversary. Symposium on Computational Intelligence and Games. pp. 9–16. Cite uses deprecated parameter |coauthors= (help)
3. Official site "oj! Algorithms Project Page" Check |url= value (help). oj! Algorithms. Retrieved July 2, 2013.