Numerical Projects – Summer of Code

  1. Numerical Linear Algebra
    1. Matrix functions
  2. Better Bignums Integration
    1. Special functions
    2. A Julia-native CCSA optimization algorithm

Numerical Linear Algebra

Matrix functions

Matrix functions map matrices onto other matrices, and can often be interpreted as generalizations of ordinary functions like sine and exponential, which map numbers to numbers. Once considered a niche province of numerical algorithms, matrix functions now appear routinely in applications to cryptography, aircraft design, nonlinear dynamics, and finance.

This project proposes to implement state of the art algorithms that extend the currently available matrix functions in Julia, as outlined in issue #5840. In addition to matrix generalizations of standard functions such as real matrix powers, surds and logarithms, contributors will be challenged to design generic interfaces for lifting general scalar-valued functions to their matrix analogues for the efficient computation of arbitrary (well-behaved) matrix functions and their derivatives.

Recommended Skills: A strong understanding of calculus and numerical analysis.

Expected Results: New and faster methods for evaluating matrix functions.

Mentors: Jiahao Chen, Steven Johnson.

Difficulty: Hard

Better Bignums Integration

Julia currently supports big integers and rationals, making use of the GMP. However, GMP currently doesn't permit good integration with a garbage collector.

This project therefore involves exploring ways to improve BigInt, possibly including:

This experimentation could be carried out as a package with a new implementation, or as patches over the existing implementation in Base.

Expected Results: An implementation of BigInt in Julia with increased performance over the current one.

Require Skills: Familiarity with extended precision numerics OR performance considerations. Familiarity either with Julia or GMP.

Mentors: Jameson Nash

Difficulty: Hard

Special functions

As a technical computing language, Julia provides a huge number of special functions, both in Base as well as packages such as StatsFuns.jl. At the moment, many of these are implemented in external libraries such as Rmath and openspecfun. This project would involve implementing these functions in native Julia (possibly utilising the work in SpecialFunctions.jl), seeking out opportunities for possible improvements along the way, such as supporting Float32 and BigFloat, exploiting fused multiply-add operations, and improving errors and boundary cases.

Recommended Skills: A strong understanding of calculus.

Expected Results: New and faster methods for evaluating properties of special functions.

Mentors: Steven Johnson, Oscar Smith. Ask on Discourse or on slack

A Julia-native CCSA optimization algorithm

The CCSA algorithm by Svanberg (2001) is a nonlinear programming algorithm widely used in topology optimization and for other large-scale optimization problems: it is a robust algorithm that can handle arbitrary nonlinear inequality constraints and huge numbers of degrees of freedom. Moreover, the relative simplicity of the algorithm makes it possible to easily incorporate sparsity in the Jacobian matrix (for handling huge numbers of constraints), approximate-Hessian preconditioners, and as special-case optimizations for affine terms in the objective or constraints. However, currently it is only available in Julia via the NLopt.jl interface to an external C implementation, which greatly limits its flexibility.

Recommended Skills: Experience with nonlinear optimization algorithms and understanding of Lagrange duality, familiarity with sparse matrices and other Julia data structures.

Expected Results: A package implementing a native-Julia CCSA algorithm.

Mentors: Steven Johnson.