I am currently using statistical programming languages, such as R, for optimization processes. The problem is, R and the like can be deadly slow when it comes to for-loops and iterative processes. Is C++ the best language when it comes to speed and performing loops? In general, what is the best (fastest) programming language for performing heavy iterative calculations?
Which programming language for faster optimization and iterative processes?
- Thread starter JJH
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The answer to this really depends on what you want to do. If your issue really is all about an iterative loop taking too long then C++ will do you just fine (and is the standard in finance for this sort of thing). I'd hazard a guess, however, and bet that your time issues are due to something else. I wouldn't try to prematurely optimize based on language alone, is what I am trying to say.
Side note. The BEST thing is hand crafted assembly. Though, to be honest, the compilers can, more likely, write better assembly then you can (then certainly I can!).
Side note. The BEST thing is hand crafted assembly. Though, to be honest, the compilers can, more likely, write better assembly then you can (then certainly I can!).
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Look at Boost library for optimized C++ libraries. There is no need to reinvent the wheel. Much of the work has been done in open source projects.
Boost C++ Libraries
Boost C++ Libraries
One way is to look at C++ and libs. You can try to use Boost or some math libs. For example, intel math library - Intel® Math Kernel Library - Intel Software Network
Another way is to look at specific languages (compiler / runtime). For example, Google uses sawzall for logs processing and it's designed to be super fast!
http://code.google.com/p/szl/
Another way is to look at specific languages (compiler / runtime). For example, Google uses sawzall for logs processing and it's designed to be super fast!
http://code.google.com/p/szl/
Daniel Duffy
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"I am currently using statistical programming languages, such as R, for optimization processes. The problem is, R and the like can be deadly slow when it comes to for-loops and iterative processes. Is C++ the best language when it comes to speed and performing loops? In general, what is the best (fastest) programming language for performing heavy iterative calculations? "
Do you want to write your own optimiser or do you just want to use a fast optimizer _package_?
And which kind of optimising are you interested in?
BTW Boost won't be all that useful, apart from some matrices and BLAS operations. The rest is not in there.
BTW the fastest language is FORTRAN.
[q]What about matrix algebra and basic statistical concepts, C++ doesn't include these? Does that mean that I would have to first teach the program how to multiple and invert matrices and then go on to write the optimization part? [/q]
Yup. And the crucial question: how is your C++ knowledge a) < 1 year etc.?
For statistics, see Boost
http://www.quantnet.com/cplusplus-statistical-distributions-boost/
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Do you want to write your own optimiser or do you just want to use a fast optimizer _package_?
And which kind of optimising are you interested in?
BTW Boost won't be all that useful, apart from some matrices and BLAS operations. The rest is not in there.
BTW the fastest language is FORTRAN.
[q]What about matrix algebra and basic statistical concepts, C++ doesn't include these? Does that mean that I would have to first teach the program how to multiple and invert matrices and then go on to write the optimization part? [/q]
Yup. And the crucial question: how is your C++ knowledge a) < 1 year etc.?
For statistics, see Boost
http://www.quantnet.com/cplusplus-statistical-distributions-boost/
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