Walking Randomly

Late last year I was asked to give a talk at my University to a group of academics studying financial mathematics (Black-Scholes, monte-carlo simulations, time series analysis – that sort of thing).  The talk was about the NAG Numerical Library, what it could do, what environments you can use it from, licensing and how they could get their hands on it via our site license.

I also spent a few minutes talking about Python including why I thought it was a good language for numerical computing and how to interface it with the NAG C library using my tutorials and PyNAG code.  I finished off with a simple graphical demonstration that minimised the Rosenbrock function using Python, Matplotlib and the NAG C-library running on Ubuntu Linux.

“So!”, I asked, “Any questions?”

The very first reply was “Does your Python-NAG interface work on Windows machines?” to which the answer at the time was “No!”  I took the opportunity to ask the audience how many of them did their numerical computing in Windows (Most of the room of around 50+ people), how many people did it using Mac OS X (A small group at the back), and how many people did it in Linux (about 3).

So, if I wanted the majority of that audience to use PyNAG then I had to get it working on Windows.  Fortunately, thanks to the portability of Python and the consistency of the NAG library across platforms, this proved to be rather easy to do and the result is now available for download on the main PyNAG webpage.

Let’s look at the main differences between the Linux and Windows versions

Loading the NAG Library

In the examples given in my Linux NAG-Python tutorials, the cllux08dgl NAG C-library was loaded using the line

libnag = cdll.LoadLibrary("/opt/NAG/cllux08dgl/lib/libnagc_nag.so.8")

In Windows the call is slightly different. Here it is for CLDLL084ZL (Mark 8 of the C library for Windows)

C_libnag = ctypes.windll.CLDLL084Z_mkl

If you are modifying any of the codes shown in my NAG-Python tutorials then you’ll need to change this line yourself. If you are using PyNAG, however, then it will already be done for you.

Callback functions

For my full introduction to NAG callback functions on Linux click here. The main difference between using callbacks on Windows compared to Linux is that on Linux we have

C_FUNC = CFUNCTYPE(c_double,c_double )

but on Windows we have

C_FUNC = WINFUNCTYPE(c_double,c_double )

There are several callback examples in the PyNAG distribution.

That’s pretty much it I think.  Working through all of the PyNAG examples and making sure that they ran on Windows uncovered one or two bugs in my codes that didn’t affect Linux for one reason or another so it was a useful exercise all in all.

So, now you head over to the main PyNAG page and download the Windows version of my Python/NAG interface which includes a set of example codes.  I also took the opportunity to throw in a couple of extra features and so upgraded PyNAG to version 0.16, check out the readme for more details.  Thanks to several employees at NAG for all of their help with this including Matt, John, David, Marcin and Sorin.