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aftermath

Collection of c++ header files providing support for various mathematical tasks.

Currently contains the following sections:

  • algebra Some generic math, most notably including matrix types.
  • algorithm Implementation of various algorithms.
  • format Provides MATLAB v4 .mat file support for matrix types.
  • probability Describes some basic distribution types. As opposed to standard c++, the intention of these headers is to provide a framework for working with mathematical/statistical properties of said distributions; (pseudo-) random number generation is dealt with in the next section (random).
  • random Provides samplers for some probability distributions. Features an implementation of ziggurat method (see Marsaglia and Tsang [2000] and Doornik [1997]) for generating normal random variables, offering a slight speed-up compared to the built-in c++ implementation.

Note on the deviation from standard c++ distribution/sampling. The current standard is to let distribution types perform sampling via operator (); we, on the other hand, introduce sampler types to perform the sampling via the same operator () interface, and let distribution types expose just the mathematical properties of the distributions. We think this distinction is important enough to keep the concepts separated.