"Armadillo is an open-source C++ linear algebra library (matrix maths)
aiming towards a good balance between speed and ease of use. Integer,
floating point and complex numbers are supported, as well as a subset of
trigonometric and statistics functions. Various matrix decompositions
are provided through optional integration with LAPACK, or one of its
high performance drop-in replacements (such as MKL or ACML)."