Developing Math libraries

Question

I am looking to create a custom math library for the project I am working on. The project is written in C#, and I am slightly concerned whether C# will be fast enough. The library will have a number of custom math formulas and equasions to be applied to very large data sets. Simulations and matrix operations will be done as well (i.e. Monte Carlo simulations) so it'd have to be fast.

One thought is to create the math library in C++ and reference this .dll within the C# project. I am wondering whether it is worth the effort?

Answer 1

The general rule of thumb is "don't optimize until you need to," so I would lean towards just writing it in C# and optimizing the code later on.

But, in this situation where optimizing might require reimplementing everything in another language, I would do some testing first. Write a small app using the most processor-intensive math you expect in both C# and C++, then compare the times to see if the C# one is acceptable.

Answer 2

If you will be using it in C#, then you might as well put it in C# to start with. You buy more with managed code than you save with pointer wrangling. If you are worried about memory and cache issues, then just use arrays of types instead of objects. It gives you more control over how the memory is laid out.

The optimizers and JIT compilers will buy you more than enough speed to make up for any inefficiencies.