OjAlgo

oj! Algorithms or ojAlgo, is an open source Java library for mathematics,[1][2] linear algebra and optimisation. It was first released in 2003[3] and is 100% pure Java source code and free from external dependencies. Its feature set make it particularly suitable for use within the financial domain.

OjAlgo
Original author(s)Anders Peterson
Stable release
v44.0 / September 27, 2017 (2017-09-27)
Operating systemCross-platform
TypeLibrary
LicenseMIT License
Websiteojalgo.org

Capabilities
  • Linear algebra in Java
    • "high performance" multi-threaded feature-complete linear algebra package.
  • Optimisation (mathematical programming) including LP, QP and MIP solvers.
  • Finance related code (certainly usable in other areas as well):
    • Extensive set of tools to work with time series - CalendarDateSeries, CoordinationSet & PrimitiveTimeSeries.
    • Random numbers and stochastic processes - even multi-dimensional such - and the ability to drive these to do things like Monte Carlo simulations.
    • A collection of Modern Portfolio Theory related classes - FinancePortfolio and its subclasses the Markowitz and Black-Litterman model implementations.
    • Ability to download data from Yahoo Finance and Google Finance.

It requires Java 8 since version v38. As of version 44.0, the finance specific code has been moved to its own project/module named ojAlgo-finance.[3]

Usage example

Example of singular value decomposition:

SingularValue<Double> svd = SingularValueDecomposition.make(matA);
svd.compute(matA);

MatrixStore<Double> U = svd.getQ1();
MatrixStore<Double> S = svd.getD();
MatrixStore<Double> V = svd.getQ2();

Example of matrix multiplication:

PrimitiveDenseStore result = FACTORY.makeZero(matA.getRowDim(), matB.getColDim());
result.fillByMultiplying(matA, matB);

References
  1. Takaki, M.; Cavalcanti, D.; Gheyi, R.; Iyoda, J.; d’Amorim, M.; Prudêncio, R. B. (2010). "Randomized constraint solvers: a comparative study". Bioinformatics. 6 (3): 243–253. doi:10.1007/s11334-010-0124-1.
  2. Vanek, O.; Bosansky, B.; Jakob, M.; Pechoucek, M. (2010). Transiting areas patrolled by a mobile adversary. Symposium on Computational Intelligence and Games. pp. 9–16.
  3. "oj! Algorithms Project Page". oj! Algorithms. Retrieved July 2, 2013.
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