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I need to solve a system of linear equations in my program. Is there a simple linear algebra library for C++, preferably comprised of no more than a few headers? I’ve been looking for nearly an hour, and all the ones I found require messing around with Linux, compiling DLLs in MinGW, etc. etc. etc. (I’m using Visual Studio 2008.)
I think Eigen is what you’re looking for.
http://eigen.tuxfamily.org/index.php?title=Main_Page
It is a headers only library and compiles on many compilers. It even uses exotic assembly for faster math.
This is the page that shows off the linear solver api.
http://eigen.tuxfamily.org/dox-2.0/TutorialAdvancedLinearAlgebra.html
It has a few solvers with a simple api.