R Packages

bcv
Bi-cross-validation. This package implements cross-validation-based methods for choosing the rank of an SVD approximation.
mbest
Fast moment-based estimation for hierarchical models.
RMTstat
Distributions and statistics from random matrix theory (RMT), mostly related to large sample covariance matrices. Joint work with Iain Johnstone, Zongming Ma, and Morteza Shahram. (This software will only work in R; For MATLAB, use the Prähofer-Spohn KPZ Tables.)

Haskell

hs-blas
A high-level interface on the BLAS linear algebra library for the Haskell programming language.
hs-monte-carlo
A Haskell library for performing Monte-Carlo simulations.

MATLAB

Plex
A collection of routines developed as a research tool to building and study simplicial complexes generated from point-cloud data. Joint work with Gunnar Carlsson and Vin de Silva.

The source codes for most of these projects are on my github page.