• Portfolio Optimisation using SOCP
• Robust linear programming in portfolio optimization using the NAG Library

This repository contains examples and demonstrations using the NAG Library for Python. The NAG Library for Python contains 1700+ functions spanning many areas of numerical computing and data science.

Designed to work alongside the open source Python packages, Numpy and Scipy, The NAG Library for Python can augment your computational workflow in many areas.

• Correlation and regression analysis
• Curve and surface fitting
• Dimensionality Reduction
• Global Optimisation
• Linear Algebra
• Local optimisation
• Multivariate methods
• Nearest Correlation Matrices
• Operations Research
• Random number generation
• Time series analysis

In addition to those presented here, The NAG Library for Python ships with a set of usage examples. To see them all, run the following command

python -m naginterfaces.library.examples --locate

The NAG library for Python comes in two versions. One is linked to the Intel MKL for improved linear algebra performance on x86 architectures and the other is linked to NAG's self contained linear algebra libraries.

When using Intel or AMD CPUs we recommend the use of the Intel MKL version of the NAG Library for Python.

Install using the following command

python -m pip install --extra-index-url https://www.nag.com/downloads/py/naginterfaces_mkl naginterfaces

Obtaining a license

Before you can use the NAG Library for Python, you'll need a license. Free trial licenses are available!

Run the following command to begin the licensing process and email support@nag.co.uk if you have any problems.

# This will launch a license request GUI on windows
# On Mac and Linux, it gives the information you need to send to support@nag.co.uk to request a trial license
python -m naginterfaces.kusari

• More detailed installation instructions are available in the official documentation.
• More detailed license management instructions are available at https://www.nag.co.uk/numeric/py/nagdoc_latest/naginterfaces.kusari.html#kusari

Official documentation links

The following links take you to the relevant section in the official documentation

• library.anova - Analysis of Variance
• library.blas - Basic linear algebra
• library.blast - Further Linear Algebra Support Routines
• library.blgm - Linear Model Specification
• library.complex - Complex Arithmetic
• library.contab - Contingency Table Analysis
• library.correg - Correlation and Regression Analysis
• library.det - Determinants
• library.dot - Inner Products
• library.eigen - Eigenvalues and Eigenvectors
• library.fit - Curve and Surface Fitting
• library.glopt - Global Optimisation of a function
• library.ieee - IEEE Arithmetic
• library.info - Library identification
• library.inteq - Integral Equations
• library.interp - Interpolation
• library.lapackeig - Least Squares and Eigenvalue Problems (LAPACK)
• library.lapacklin - Linear Equations (LAPACK)
• library.linsys - Simultaneous Linear Equations
• library.machine - Machine Constants
• library.math - Mathematical Constants
• library.matop - Matrix Operations, Including Inversion
• library.mesh - Mesh generation
• library.mip - Operations Research
• library.mv - Multivariate Methods
• library.nonpar - Nonparametric Statistics
• library.numdiff - Numerical Differentiation
• library.ode - Ordinary Differential Equations
• library.omp - OpenMP Utilities
• library.opt - Local Optimisation
• library.orthog - Orthogonalization
• library.pde - Partial Differential Equations
• library.quad - Quadrature
• library.rand - Random Number Generators (pseudorandom and quasi-random numbers from various distributions and models)
• library.roots - Roots of One or More Transcendental Equations
• library.rnla - Randomized Numerical Linear Algebra
• library.smooth - Smoothing in Statistics
• library.sort - Sorting and Searching
• library.sparseig - Large Scale Eigenproblems
• library.sparse - Large Scale Linear Systems
• library.specfun - Approximations of Special Functions
• library.stat - Simple Calculations on Statistical Data
• library.sum - Summation of Series
• library.surviv - Survival Analysis
• library.tsa - Time Series Analysis
• library.univar - Univariate Estimation
• library.wav - Wavelet Transforms
• library.zeros - Zeros of Polynomials