I need a C# library to deal with matrices. It should implement singular value decomposition, matrix inversion, etc
I've used CSML before, but this does not implement some of the features i need.
Some of the features are:
Singular value decomposition
Matrix inversion
Trace
Determinants
Suggested Libraries (from answers)
(most of them implement the features stated above)
- Math .NET Numerics for .NET, Silverlight and Mono (opensource)
- Extreme Optimization Numerical Libraries (commercial, very complete)
- IL Numerics (commercial)
- Deltix's FinMath numerical library (commercial, uses the Intel® Math Kernel Library (MKL) and Intel® Integrated Performance Primitives (IPP))
- Lightweight fast matrix class in C# (Strassen algorithm, LU decomposition)
Answer
Math.NET Numerics is very nice, if it supports the operations you want. The older Math.Net Iridium still supports more options. Also, dnAnalytics is quite nice, but no longer being developed. (It, as well as Iridium, are being merged into Math.NET Numerics.)
On the commercial side, there are some very good, robust options. The Extreme Optimization Numerical Libraries work very well. The Visual Numerics library also works very well (although with a royalty-based distribution...).