Can Eigen use more than Double precision in its linear algebra Ax=b

Question

I am using Eigen to do some linear algebra. i.e. find x in Ax=b. Where A is (n,n) matrix and x and b are (n,1) size vectors. I would like to know if it is possible to compute them with more than double precision.

Answer 1

Eigen can work with arbitrary precision arithmetic. There is an MPFR module readily available. Usually, this should not be necessary though (unless your original values already are stored in that high precision). You should first try using a more stable decomposition. Have a look at the available decompositions here. Which one is best, heavily depends on your use case.