R Packages

bcv
Bi-cross-validation, for choosing the rank of a low-rank matrix approximation.
corpus
Text corpus analysis, with full support for international text (Unicode).
mbest
Fast moment-based estimation for hierarchical models.
RMTstat
Distributions and statistics from random matrix theory (RMT). Joint work with Iain Johnstone, Zongming Ma, and Morteza Shahram.

Haskell

hs-blas
A high-level interface to the BLAS linear algebra library.
hs-monte-carlo
A pure functional library for Monte-Carlo simulations.

MATLAB

Plex
Computational topology for 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.