Try this:
The Matrix Template Library (MTL)
http://www.osl.iu.edu/research/mtl/
The Matrix Template Library (MTL) is a high-performance generic
component library that provides comprehensive linear algebra
functionality for a wide variety of matrix formats.
As with the Standard Template Library (STL), MTL uses a five-fold
approach, consisting of generic functions, containers, iterators,
adaptors, and function objects, all developed specifically for high
performance numerical linear algebra. Within this framework, MTL
provides generic algorithms corresponding to the mathematical operations
that define linear algebra. Similarly, the containers, adaptors, and
iterators are used to represent and to manipulate concrete linear
algebra objects such as matrices and vectors.
To many scientific computing users, however, the advantages of an
elegant programming interface are secondary to issues of performance.
Generic programming is a powerful tool in this regard as well -
performance tuning can itself be described in a generic fashion. These
performance tuning abstractions are realized in a generic low-level
library - the Basic Linear Algebra Instruction Set (BLAIS). Experimental
results show that MTL with the BLAIS achieves performance that is as
good as, or better than, vendor-tuned libraries. Thus, MTL demonstrates
that the proper abstractions can be used to achieve high levels of
performance, contrary to conventional wisdom. In addition, MTL requires
orders of magnitude fewer lines of code for its implementation, with the
concomitant savings in development and maintenance effort.
Yuriy
Havatcha wrote:
Does anyone know of a decent (free/easy to use) C++ library for
manipulating matrices and caculating eigenvalues, eigenvectors and so
on? I intend to add some Principal Component Analysis functionality to
some software.
Any recommendations appreciated.
