In the development of software that requires advanced math, statistics, or analytics, there is often a disconnect early in the development process. This occurs at the transition from algorithm selection and testing to the beginning of coding in the actual compiled language. We refer to this as the prototype to production transition.
To address the disconnect during prototype to production, we are presenting a method to run IMSL Numerical Libraries routines in R or Matlab. The goal is not to replace the algorithm developer’s tool of choice but to run a compiled version of the code in parallel. Pitfalls can be caught early, and data discrepancies can be resolved quickly by running the script version and compiled version side by side.
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