Eigen is a free and open source, relatively fast, very versatile linear algebra library written completely in C++ templates. It is very fast and in some cases produces code as fast as commercial implementations like Intel MKL, AMD ACML etc. The beauty of the Eigen is, it’s completely written in C++ templates and it’s very easy to plug it in to a project compiled with any supported compiler.
Here I describe the process of how to install Eigen with Microsoft Visual Studio 2010 Express and 64bit compilers from Microsoft Windows SDK 7.1 supporting OpenMP and vectorization with SSE2. All these tools are free.
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