Numerical computing with F# and MKL - Adam Mlocek - webcast live from UK
Details
Adam Mlocek, founder of StatFactory (http://www.statfactory.co.uk/about/)and creator of the FCor (http://statfactory.github.io/FCor/index.html) open source numerical library explains how F# overloaded operators and functions, strong and static typing and lazy expression evaluation can give us the perfect mix of intuitive API and high performance. Adam will present his recent talk from the F#unctional Londoners Meetup Group from the UK using GotoMeeting. Join us at Prolucid (http://prolucid.ca/)'s Mississauga office or watch on-line.
Dial-in details:
Please join my meeting from your computer, tablet or smartphone.
https://global.gotomeeting.com/join/946751221
You can also dial in using your phone. United States +1 (224) 501-3217
Access Code: 946-751-221
More phone numbers: Canada (Long distance): +1 (647) 497-9351
Abstract
.NET numerical libraries tend to be designed in a heavily object oriented style. For someone used to the expressiveness of numpy, Matlab or R this might be a bit of a problem. Also, even if some functionality is delegated to high performance libraries like Intel Math Kernel Library, the design does not allow us to evaluate vector/matrix expressions in the most efficient way or use all available memory.
In this talk I would like to present an open source F# math and stat library which tries to address all those issues. We will see how F# overloaded operators and functions, strong and static typing and lazy expression evaluation can give us the perfect mix of intuitive API and high performance, all in your favourite language!
If time permits I will show the recent additions to the library: strongly typed statistical data frame and F# implementation of Generalised Linear Model and compare its performance to Revolution R and H2O.
The library is available here: https://github.com/Statfactory/FCor (https://github.com/Statfactory/FCore)
Speaker Bio
Adam Mlocek is a F# functional programmer with a math background and experience in banking, insurance, reinsurance and energy trading. His specialties include: F# development, Excel development, & statistical & risk model implementation. He is the founder & owner of http://www.statfactory.co.uk/ (http://www.statfactory.co.uk/fcore-numerical-library/).
"At last, Excel + F#, in harmony. "
Don Syme - creator of F#
(describing FCell (http://www.statfactory.co.uk/fcell-add-in/) by StatFactory)
Adam compares FCor (http://www.statfactory.co.uk/fcore-numerical-library/)with RevolutionR at the Functional Londoners meetup
http://photos3.meetupstatic.com/photos/event/9/9/3/a/600_444579226.jpeg
Adam demonstrates the use of FCor (http://www.statfactory.co.uk/fcore-numerical-library/)for American Option Pricing:
http://photos3.meetupstatic.com/photos/event/d/b/3/2/600_444596114.jpeg