Eigen
Eigen 3 is a C++ template library for linear algebra, matrices, vectors, numerical solvers and related algorithms.
Eigen is very easy to use. For example, to multiply two matrices:
Matrix2d a, b;
a << 1, 2, // Fill the data
3, 4;
b << 5, 6,
7, 8;
Matrix2d res = a*b; // Just multiply them using *
Eigen package is a wrapper of Eigen 3.3.7 library. It includes the library and helper functions to integrate better Eigen with U++. Starting from the 3.1.1 version, it is licensed under the MPL2, which is a simple weak copyleft license. Common questions about the MPL2 are answered in the official MPL2 FAQ.
Bazaar/Eigen package includes a sample package (Eigen_demo) to ease its use for U++ users. It has many samples from Eigen library and nonlinear equation solving and optimization like Eckerle4 and Thurber (see the graphs).
 
It also includes a simple FFT (Fast Fourier Transform) sample.that:
Generates a data series composed by three sinusoidal series of amplitude 2, 5 and 30, and frequencies 1/50, 1/30 and 1/10 Hz:
f(t) = 2*sin(2*PI*t/50 - PI/3) + 5*sin(2*PI*t/30 - PI/2) + 30*sin(2*PI*t/10 - PI/5)
Gets the FFT
Filters the frequencies between 1/25 and 1/35 Hz
Gets the filtered data series
Saves both FFT and series
Eigen packages have been prepared by dolik.rce and koldo.
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