matlib

Matlib is a Clojure library of optimisation and control theory tools and convenience functions based on Neanderthal.

Motivation

Clojure's REPL-driven workflow is well suited to exploring and manipulating data. Like MATLAB, this approach should work well for matrix-based numerical computation.

Neanderthal fills a need for a performant matrix library in Clojure, but it is essentially a thin wrapper around LAPACK functions. This library aims to furnish Clojure with some higher-level functions and applications, including system identification, control theory and optimisation tools, without replicating things already available in Neanderthal.

Why not core.matrix? It is of course subjective. The philosophy of core.matrix and Neanderthal is different and they serve different needs. I preferred being close to LAPACK -- the cockroach of numerical computing -- and Neanderthal's syntax made more sense to me.

Finished features

• Various linear algebra functions like pseudo-inverse, kernel, subspace projections etc.
• (optimisation) L-BFGS, gradient descent and differential evolution
• (system identification) N4SID first, second (biased), and robust algorithms (untested)
• Basis state-space representation, discrete-time integration
• Gramians, Lyapunov equations
• Some convenience functions

Installing

TBD

Contributing

Pull requests and bug reports are welcome.

The code is written in a style that stays close to the mathematics in the referenced papers where possible. This leads to extensive use of let. The following areas need work:

Unfinished

• There are currently no tests
• Integration of continuous-time of state-space models
• Kroneker product
• MOESP B, D, covariances
• Other system ID algorithms
• Riccati equation solver (but see this issue)
• Complex matrices (lacking in Neanderthal)

Matlib uses only Neanderthal's native type. It shouldn't be that hard to use Neanderthal's GPU types, but I have not attempted it.

License

Copyright © 2020 A S Sharma

This program and the accompanying materials are made available under the terms of the Eclipse Public License 2.0 which is available at http://www.eclipse.org/legal/epl-2.0.

This Source Code may also be made available under the following Secondary Licenses when the conditions for such availability set forth in the Eclipse Public License, v. 2.0 are satisfied: GNU General Public License as published by the Free Software Foundation, either version 2 of the License, or (at your option) any later version, with the GNU Classpath Exception which is available at https://www.gnu.org/software/classpath/license.html.