Multivariate regression library for C++ under Windows

[lolatency]

What is the easiest and quickest way for me to get the ability to do multivariate regression and have access to the usual t and F statistics, and all the usual good stuff. Do I have any real open source options that will work for me under Windows?

R embedded is proving to be unwieldy.

 

[rosy2]

this should work under windows

http://www.gnu.org/software/gsl/

 

[Splat]

I would bet that matlab has an extensive regression toolbox.. It also lets u use C++ code.

 

[Corey]

I second the recommendation for GSL.

 

[Equalizer]

+1 for GSL.

BTW, didn't you ask this question on another board recently (Brian?) ?

 

[lolatency]

Quote from Equalizer:

+1 for GSL.

BTW, didn't you ask this question on another board recently (Brian?) ?

I might as well be Brian if it gets me answers.

-Brian

 

[Equalizer]

Quote from lolatency:

I might as well be Brian if it gets me answers.

-Brian

http://www.nuclearphynance.com/Show Post.aspx?PostIDKey=131571

 

[mizhael]

Quote from lolatency:

What is the easiest and quickest way for me to get the ability to do multivariate regression and have access to the usual t and F statistics, and all the usual good stuff. Do I have any real open source options that will work for me under Windows?

R embedded is proving to be unwieldy.

What have you tried w.r.t R?
I think it's best to get R work with C++/Java...

 

[lolatency]

Quote from mizhael:

What have you tried w.r.t R?
I think it's best to get R work with C++/Java...

I compiled R.dll, included all the headers, then used the Rcpp and RInside classes. Then I wrote some wrappers to let me manage things like regressions and such. It works fine, until I compile it as a DLL and import into a third party process. Stability goes wonky then.

But also, I don't like the way it's structured -- parsing text and constructing vectors -- it's tedious. Do you have a better way?

The DCOM version was a hassle because you have to run the GUI, the proxy interface, and the DCOM server. I found that to be impractical also.

 

[mizhael]

Quote from lolatency:

I compiled R.dll, included all the headers, then used the Rcpp and RInside classes. Then I wrote some wrappers to let me manage things like regressions and such. It works fine, until I compile it as a DLL and import into a third party process. Stability goes wonky then.

But also, I don't like the way it's structured -- parsing text and constructing vectors -- it's tedious. Do you have a better way?

The DCOM version was a hassle because you have to run the GUI, the proxy interface, and the DCOM server. I found that to be impractical also.

How about other methods of connecting R to C++/Java? Say socket?

I think the best way is to call R functions from within C++/Java.

Why is DCOm bad?

I think it's important to get R working with C++/Java so you could leverage other functionalities of R.