因为最近在研究卡尔曼滤波，要用到矩阵运算，就想着用C++一次性把矩阵运算写好吧，写一半觉得这么基础的工具应该有人写过吧，发现有很多库！！！
有人做了总结：
C++矩阵运算库推荐
矩阵运算库Armadillo,Eigen,MATCOM在windows+vs2010环境下的安装和测评
大家用得比较多的是Eigen，Eigen的特点：
(1) 使用方便、无需预编译，调用开销小
(2) 函数丰富，风格有点近似MATLAB，易上手；
(3) 速度中规中矩，比opencv快，比MKL、openBLAS慢；
Eigen的下载与安装，可参考：
Eigen的简单使用
参考：
使用方法很简单：下载Eigen后解压，然后包含解压路径，最后只需要在程序里引用头文件和使用命名空间
#include <Eigen/Dense>
using namespace Eigen;
Matrix<double, 3, 3> A; // Fixed rows and cols. Same as Matrix3d. Matrix<double, 3, Dynamic> B; // Fixed rows, dynamic cols. Matrix<double, Dynamic, Dynamic> C; // Full dynamic. Same as MatrixXd. Matrix<double, 3, 3, RowMajor> E; // Row major; default is column-major. Matrix3f P, Q, R; // 3x3 float matrix. Vector3f x, y, z; // 3x1 float matrix. RowVector3f a, b, c; // 1x3 float matrix. VectorXd v; // Dynamic column vector of doubles
基本使用方法
// Eigen // Matlab // comments
x.size() // length(x) // vector size
C.rows() // size(C,1) // number of rows
C.cols() // size(C,2) // number of columns
x(i) // x(i+1) // Matlab is 1-based
C(i,j) // C(i+1,j+1) //
A.resize(4, 4); // Runtime error if assertions are on.
B.resize(4, 9); // Runtime error if assertions are on.
A.resize(3, 3); // Ok; size didn't change.
B.resize(3, 9); // Ok; only dynamic cols changed.
A << 1, 2, 3, // Initialize A. The elements can also be
4, 5, 6, // matrices, which are stacked along cols
7, 8, 9; // and then the rows are stacked.
B << A, A, A; // B is three horizontally stacked A's.
A.fill(10); // Fill A with all 10's.
特殊矩阵生成
// Eigen // Matlab MatrixXd::Identity(rows,cols) // eye(rows,cols) C.setIdentity(rows,cols) // C = eye(rows,cols) MatrixXd::Zero(rows,cols) // zeros(rows,cols) C.setZero(rows,cols) // C = ones(rows,cols) MatrixXd::Ones(rows,cols) // ones(rows,cols) C.setOnes(rows,cols) // C = ones(rows,cols) MatrixXd::Random(rows,cols) // rand(rows,cols)*2-1 // MatrixXd::Random returns uniform random numbers in (-1, 1). C.setRandom(rows,cols) // C = rand(rows,cols)*2-1 VectorXd::LinSpaced(size,low,high) // linspace(low,high,size)' v.setLinSpaced(size,low,high) // v = linspace(low,high,size)'
矩阵四则运算
// All the same as Matlab, but matlab doesn't have *= style operators.
// Matrix-vector.
y = M*x;
a = b*M;
a *= M;
// Matrix-matrix.
R = P*Q;
R = P - Q;
R = P + Q;
R *= Q;
R += Q;
R -= Q;
//Matrix-scalar.
R = P*s;
R = s*P;
R = P/s;
R = s*P;
R *= s;
R /= s;