Fast C++ matrix library with interfaces to LAPACK and ATLAShttp://arma.sourceforge.net/
Armadillo is a C++ linear algebra library (matrix maths)
aiming towards a good balance between speed and ease of use.
Integer, floating point and complex numbers are supported,
as well as a subset of trigonometric and statistics functions.
Various matrix decompositions are provided through optional
integration with LAPACK and ATLAS libraries.
A delayed evaluation approach is employed (during compile time)
to combine several operations into one and reduce (or eliminate)
the need for temporaries. This is accomplished through recursive
templates and template meta-programming.
This library is useful if C++ has been decided as the language
of choice (due to speed and/or integration capabilities), rather
than another language like Matlab or Octave.