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Lionel,
in practice, these numbers might be market prices, volume data, indicator
values, etc. which would be read in from existing databases. For the test
described in my post I simply used the Mathematica statement,
mat = Table[Random[], {i, 300}, {j, 300}];
which in one tenth of a second filled the matrix named "mat" with all those
random numbers.
Best regards,
Michael Suesserott
> -----Ursprüngliche Nachricht-----
> Von: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Lionel Issen
> Gesendet: Thursday, September 06, 2001 17:44
> An: metastock@xxxxxxxxxxxxx
> Betreff: Re: Numerical Linear Algebra
>
>
> How do you enter this amount of data into the matrix? Unless you can enter
> the data from an existing list, it would take about 50 to 100
> hours to enter
> data manually assuming 2 to 4 seconds per entry.
> Lionel Issen
> lissen@xxxxxxxxxxxxxx
> ----- Original Message -----
> From: "MikeSuesserott" <MikeSuesserott@xxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Thursday, September 06, 2001 8:43 AM
> Subject: AW: Numerical Linear Algebra
>
>
> > Hi Walter,
> >
> > as a guy who likes to use Markov processes a lot as a means of
> quantifying
> > trading decisions, I can certainly confirm that 300-row matrices can and
> do
> > occur in "every-day" calculations. Luckily for today's computer users,
> > today's computers are equal to the task.
> >
> > To give a concrete numerical example of a larger-type matrix
> calculation,
> I
> > had Mathematica build a 300x300 matrix consisting of double-precision
> random
> > numbers between 0 and 1 (as would be typical for transition
> probabilities
> in
> > Markov chains). I thought it might be instructive to list the durations
> for
> > Mathematica to define the 300x300 matrix, then take its determinant and
> its
> > inverse - quite a task, actually, which not so long ago would have
> required
> > an expensive workstation computer to do the calculations in reasonable
> time.
> > Here are Mathematica's results on my old 450 MHz PIII, and,
> mind, running
> in
> > interpretive mode, i.e.. without compilation:
> >
> > Fill 300x300 matrix with double-precision numbers: 0.1 sec
> > Take the determinant of that matrix: 0.4 sec
> > Invert 300x300 matrix: 1.7 sec
> >
> > As we know from working with Hilbert matrices, it is good to be
> suspicious
> > of larger-scale iterative results; so I checked the results by doing the
> > same calculation with higher than double-precision accuracy which is 16
> > digits. I chose an internal precision of 50 decimal digits; the above
> > results had been OK, though, and times were just a little longer for the
> > high-accuracy calculations, with 0.5 sec and 1.8 sec, respectively.
> >
> > I don't know if this is of any interest to you or the list, just thought
> I'd
> > add my two cents' worth.
> >
> > Best,
> >
> > Michael Suesserott
> >
> >
> > > -----Ursprüngliche Nachricht-----
> > > Von: owner-metastock@xxxxxxxxxxxxx
> > > [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von W Lake
> > > Gesendet: Thursday, September 06, 2001 15:59
> > > An: metastock@xxxxxxxxxxxxx
> > > Betreff: Numerical Linear Algebra
> > >
> > >
> > > Hi Lionel
> > >
> > > As the introductory paragraph at the site says:
> > >
> > > "... software for the solution of linear algebra problems ..."
> > > "... for solving problems in numerical linear algebra, ..."
> > >
> > > trading is not mentioned
> > >
> > > Most college books on linear algebra usually deal with small
> > > matrices, i.e.,
> > > 3 rows x 5 columns, whereas in business and in trading you are
> > > going to need
> > > at least 300 rows x "lots" of variables, etc. Problems of
> this size are
> > > referred to as numerical linear algebra.
> > >
> > > Michael can probably be of more help in describing the
> > > "difference" between
> > > the two. The terms used become complicated and merge with
> > > computer science,
> > > i.e., linear programming.
> > >
> > > Some of the programs listed at the site are for parallel
> > > processing or even
> > > for large supercomputers, i.e., Crays, but as you know, we
> > > average guys are
> > > dealing with more horsepower every year.
> > >
> > > Best regards
> > >
> > > Walter
> > >
> > > ----- Original Message -----
> > > From: Lionel Issen <lissen@xxxxxxxxxxxxxx>
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: Wednesday, September 05, 2001 8:37 PM
> > > Subject: Re: Numerical Linear Algebra
> > >
> > >
> > > > Can you tell me if the first site is oriented towards
> trading or is it
> a
> > > > strictly linear algebra site?
> > > > Lionel Issen
> > > > lissen@xxxxxxxxxxxxxx
> > > > ----- Original Message -----
> > > > From: "W Lake" <wlake@xxxxxxxxx>
> > > > To: <metastock@xxxxxxxxxxxxx>
> > > > Sent: Wednesday, September 05, 2001 11:59 PM
> > > > Subject: Numerical Linear Algebra
> > > >
> > > >
> > > > > Thanks
> > > > >
> > > > > was not aware of this site of available software. It sure makes
> > > searching
> > > > > easier <G>
> > > > > http://www.netlib.org/utk/people/JackDongarra/la-sw.html
> > > > >
> > > > > Trefethen and Bau's book looks very ineresting.
> > > > > http://www.siam.org/books/ot50/index.htm
> > > > >
> > > > > I guess someday you really have to graduate to the big
> matrices <G>
> > > > >
> > > > > Thanks again
> > > > >
> > > > > Walter
> > > > >
> > > > >
> > > >
> > > >
> > >
> > >
> >
>
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