What numerical / math library is widely used for C++ programming?

[featips]

Hi all,

Generally what C++ lib is most used in quant area for implementing numerical computing? For example, for linear algebra, BOOST, LAPACK++, Armadillo, Eigen, Seldon, Blitz, SparseLib++, IML++, SL++,......., which is widely accepted in performance, efficiency, accuracy, and convenience? Thanks.

 

[cgorac]

From what I was able to learn, as an outsider, I'd say many of quant shops are suffering NIH syndrome, and are implementing lots of stuff from scratch. Doing this for low-level stuff, like linear algebra routines, is sometimes needed, in case new approaches like GPU or FPGA appear with potential to speed-up calculations tremendously but corresponding low-level libraries are not written yet. Otherwise, one should stick to using well knows tools: BLAS implementation from vendors (Intel, AMD) are usually fastest around, thus also the best choice in most cases; albeit I must confess that I am surprised with the performance of corresponding C++ tools too - for example, recently I tried Eigen, and it seems to be very, very fast. So the best thing to do would be probably to try multiple libraries, if available, and then choose one with best mix of performance, support and API niceness for given application.

 

[Springer]

I believe TNT has super-seeded LAPACK.

May be wrong cos' i mostly use c#.