Questions tagged [eigen]

Eigen is a C++ template library for linear algebra: matrices, vectors, and related algorithms.

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matrix multiplication in C++ [closed]

I have the following function that takes too long to execute. I need to made this at least 2x times faster. ...
83 views

Implementation of Iterative Closest Point in C++

Here, is my implementation of Iterative Closest Point algorithm in C++. The code is written using the Eigen library. I have tried to implement an efficient coding methodology best to my knowledge ...
132 views

Coordinate Descent Non-negative Least Squares optimization

In my fast implementation of Non-negative Matrix Factorization (Rcpp Machine Learning Library, RcppML), about 40% of the runtime is spent solving Non-negative Least Squares (NNLS) systems (the rest of ...
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179 views

Fractional indexing and interpolation to reconstruct an image

I have a c++ project written as a Matlab Mex program that is constructing an image composed of IxJ pixels. Each pixel value is calculated by finding the contributions to that pixel from all the ...
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1 vote
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Calling Eigen library to do the linear operation of the matrix

I am a rookie of coding and I have written a c++ procedure which calls the Eigen library to do the linear operation of the matrix. Please help me to improve the efficiency of the loop. ...
2k views

Transforming from spherical coordinates to Cartesian coordinates using Eigen

I need to transform the coordinates from spherical to Cartesian space using the Eigen C++ Library. The following code serves the purpose: ...
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233 views

Multivariate normal density using Woodbury matrix inversion lemma

I'm trying to speed up by multivariate normal density function by taking advantage of the fact that the covariance matrix is of the form A + U C U'. The inverse of such a matrix can be calculated ...
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169 views

Writting “A Simple Least-Squares Approach” by Longstaff and Schwartz into a C++ class

Background: I have posted a similar question here. I followed the suggestions of @ Ben Steffan and made the appropriate changes despite number 6 that I did not understand and number 7. Question: ...
• 159
622 views

Writting "A Simple Least-Squares Approach" by Longstaff and Schwartz; pricing American option contracts

Background: I have made a post about this on another account here. I am writing the least squares algorithm into a class in C++ and I want to make sure that what I am doing is the most efficient and ...
• 159
392 views

Forward Monte Carlo Algorithm in C++

Background Information: Here is an outline of the algorithm known as Forward Monte Carlo for pricing American options which is from the paper, "A Forward Monte Carlo Method for American Options ...
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1k views

Optimizing a function in Eigen

I'm a beginner in C++ and I would appreciate advices to optimize the following function I wrote with Eigen (in fact, to be used with RcppEigen). So far, I observe a 3.5x speed-up compared to the ...
• 159
1k views

Logistic regression with eigen

I am a new to Eigen, and I implemented a logistic regression model with it. It works but I don't know whether it is implemented in an efficient way. ...
• 41
354 views

Simple neural-network simulation in C++ (Round 3)

As I mentioned at the end of my Round 2 answer, I've needed to expand my code in order to produce faithfully the data needed for Figure 1 of this paper. Unfortunately, the updates have made my script ...
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253 views

Simple neural-network simulation in C++ (Round 2)

Intro Yesterday I posted this question. Since then, I've updated my code to incorporate these suggestions. I've also removed the dependence on C++11. Finally, I've made the following changes that ...
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2k views

Simple neural-network simulation in C++

The C++ code below simulates the timecourse of the membrane potential (V) of a population of 128 leaky integrate-and-fire ...
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208 views

Computing the RPY tensor with C++/Eigen (linear algebra)

I'm mostly used to writing scientific code in MATLAB / Python / Julia and my experience with C++ is very limited. I've implemented a fairly simple computation of the Rotne-Prager-Yamakawa tensor in ...
2k views

Normalize Sparse Matrix along rows in C++ Eigen

I wrote a function to normalize sparse matrix along rows using C++ Eigen; however, I feel that it can be improved, and that I am not using some built in functions of Eigen. ...
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1k views

Are there any memory issues with this Eigen QR wrapper?

I am writing a wrapper to Eigen QR for my personal use and I am wondering if there are any memory leaks or undocumented behavior in my implementation, especially in the function ...
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