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 U++ package is a wrapper of Eigen library, updated to stable release 3.4.0 (18/08/2021). 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.

examples/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. To simplify access to these features, simple functions have been added.

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.