Mathias Brandewinder on .NET, F#, VSTO and Excel development, and quantitative analysis / machine learning.
by Mathias 13. June 2010 12:30

In my last post I explored how ExcelDNA can be used to write high-performance UDFs for Excel, calling .Net code without the overhead of VSTO. Using .Net instead of VBA for intensive computations already yields a nice improvement. Still, I regretted that ExcelDNA supports .Net up to 3.5 only, which puts the Task Parallel Library off limits – and is too bad  because the TPL is just totally awesome to leverage the power of multi-cores.

As it turned out, this isn’t totally correct. Govert  Van Drimmelen (the man behind ExcelDNA) and Jon Skeet (the Chuck Norris of .Net) pointed that while the Task Parallel Library is a .Net 4.0 library, the Reactive Extensions for .Net 3.5 contains an unsupported 3.5 version of the TPL – which means that it should be possible to get parallelism to work with ExcelDNA.

This isn’t a pressing need of mine, so I thought I would leave that alone, and wait for the 4.0 version of ExcelDNA. Yeah right. Between my natural curiosity, Ross McLean’s comment (have fun at the Excel UK Dev Conference!), and the fact that I really want to know if I could get the Walkenbach test to run under 1 second, without too much of an effort, I had to check. And the good news is, yep, it works.

Last time we saw how to turn an average PC into a top-notch performer; let’s see how we can inject some parallelism to get a smoking hot calculation engine.


by Mathias 13. July 2008 18:42

I was just reading this post on Juan Carlos Méndez-García's blog, where he describes when and how to use harmonic averages. I hadn't seen that average in a long while, and thought his example provided a good illustration as to why this seemingly odd way to compute averages would make sense.
Practically, there is one issue, though: Excel doesn't come up with a built-in Harmonic Average function. I thought I would give a shot at writing a user-defined function that does just that. The function I wrote mimics SUMPRODUCT(), but is called HarmonicAverage, and takes 2 ranges as arguments. The first range is the weight of each observation, the second the value of the observation.



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