I wrote a research project in matlab that uses quite a few functions which I do not want to re-implement in C++, so I’m looking for libraries to handle these for me. The functions I need are: (by order of importance)
- Hilbert transform
- Matrix functions(determinant, inverse, multiplication…)
- Finding roots of polynomials(for degrees greater than 5)
- FFT
- Convolutions
- correlation(xcorr in matlab)
Once you’ve got an FFT you can knock off everything save for numbers 2. and 3.
The linear algebra requirement can be met with PETSc http://www.mcs.anl.gov/petsc/ which supports fftw.
I don’t know how you’re going to go about the root finding. You’ll probably have to code that yourself (bisection, Newton’s method etc etc.) but it’s the easiest thing on the list to implement by far.