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Intel® Summary Statistics Library: what is new in the Update?

By Dmitry Kabaev (Intel) (11 posts) on December 14, 2008 at 11:35 pm

Intel® Summary Statistics Library 1.0 Update is available for downloading. It includes several features and benefits:

Algorithm for parameterization of correlation matrix. The algorithm transforms the input which lacks property of positive semidefiniteness into the output meeting properties of correlation matrix. The algorithm is based on spectral decomposition method and can be used in financial computations.

Algorithm for computation of quantiles for streaming data. Computation of quantiles is done with pre-defined deterministic error and is highly efficient in terms of memory and speed. The algorithm can be used for processing of datasets which arrive in blocks.

Optimized algorithm for detection of outliers in datasets. The algorithm effectively utilizes all available cores of a multi-core system.

Dynamic libraries for IA-32/Intel® 64 Windows* and Linux* based platforms. Intel® Summary Statistics Library now provides greater flexibility of linking your application.

Intel® Summary Statistics Library is solution for parallel processing and analysis of multi-dimensional datasets. It contains algorithms for computation of moments, skewness, kurtosis, variation coefficient, quantiles/order statistics. The library includes rich set of variance-covariance matrix estimators. The solution provides robust methods, tools for detection of outliers and support of missing values in datasets. Extended set of the library algorithms provide "progressive processing" support that is, allows analyzing the data which arrive in blocks.

The algorithms of the library heavily exploit multi-core/SSE advantages of processors.

The library supports C and Fortran API. Windows*/Linux* versions of the library for IA-32/Intel® 64 platforms can be downloaded at http://software.intel.com/en-us/articles/intel-summary-statistics-library

Categories: Events, Financial Services Industry, Intel® Software Network 2.0, Parallel Programming, Software Engineering, What If Software

Comments (2)

September 6, 2009 1:22 PM PDT yingwu Total Points: 690 Status Points: 190 Brown Belt

I add the three path to VS2008 and I use IVF. Then I try to compile an example file, named 'vslsbasic.f'. However, I get some error message, which seems there are bugs in the vsl_ss.fi 1>------ Build started: Project: Console1, Configuration: Debug Win32 ------ 1>Compiling with Intel(R) Fortran 11.0.066 [IA-32]... 1>vslTest1.F90 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(862): error #5082: Syntax error, found IDENTIFIER 'REAL' when expecting one of: ( * , <END-OF-STATEMENT> ; [ / = => 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(862): error #5082: Syntax error, found '::' when expecting one of: ( * ) , + . - %% : . ** / // .LT. < .LE. <= .EQ. == .NE. /= ... 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(883): error #5082: Syntax error, found IDENTIFIER 'REAL' when expecting one of: ( * , <END-OF-STATEMENT> ; [ / = => 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(883): error #5082: Syntax error, found '::' when expecting one of: ( * ) , + . - %% : . ** / // .LT. < .LE. <= .EQ. == .NE. /= ... 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(896): error #5082: Syntax error, found IDENTIFIER 'MKL_VSL_SS_TYPE' when expecting one of: ( 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(909): error #5082: Syntax error, found IDENTIFIER 'MKL_VSL_SS_TYPE' when expecting one of: ( 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(897): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(898): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(899): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(900): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(901): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(902): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(897): error #6457: This derived type name has not been declared. [VSL_SS_TASK] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(898): error #6451: A dummy argument name is required in this context. [STORAGE] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(899): error #6451: A dummy argument name is required in this context. [N_PARAMS] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(900): error #6420: This array name is invalid in this context. [METHOD_PARAMS] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(901): error #6420: This array name is invalid in this context. [ROBUST_MEAN] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(902): error #6420: This array name is invalid in this context. [ROBUST_COV] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(899): error #6279: A specification expression object must be a dummy argument, a COMMON block object, or an object accessible through host or use association [N_PARAMS] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(901): error #6221: The assumed-size array must be a dummy argument. [ROBUST_MEAN] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(902): error #6221: The assumed-size array must be a dummy argument. [ROBUST_COV] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(910): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(911): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(912): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(913): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(914): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(915): error #6643: This statement is incorrectly positioned. 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(910): error #6457: This derived type name has not been declared. [VSL_SS_TASK] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(911): error #6451: A dummy argument name is required in this context. [STORAGE] 1>D:Program FilesIntelssl1.0.1includevsl_ss.fi(912): error #6451: A dummy argument name is required in this context. [N_PARAMS] 1>(3246): catastrophic error: Too many errors, exiting 1>compilation aborted for E:testConsole1Console1vslTest1.F90 (code 1) 1> 1>Build log written to "file://E:testConsole1Console1DebugBuildLog.htm" 1>Console1 - 31 error(s), 0 warning(s) ========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========

September 7, 2009 2:41 AM PDT Andrey Nikolaev (Intel) Total Points: 1,090 Status Points: 590 Brown Belt

The answers to this question are available on the forum at http://software.intel.com/en-us/forums/intel-math-kernel-library/topic/68159/.

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