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Eigen is a template header-only C++ linear algebra library. It is one of the fastest and most popular.
Website
Usage
Compilation
Reference
For optimal performance, I recommend using the following flags when compiling.
GCC
-mfma Enable fused multiply add-mavx2 Enable avx2 vector instructions-DEIGEN_NO_DEBUG Set preprocessor define for eigen optimizations-fopenmp OpenMP parallel execution
Math
SVD
Eigen comes with a few SVD implementations in its SVD Module.
If you only need low-rank approximations then you may be interested in randomized SVD.
This can be 10-20x faster when calculating low-rank approximations on large matrices.
Github Implementation
Finding structure with randomness paper
Facebook Blog post
