Which numerical library to use for porting from Matlab to C++? [closed]

Question

I am currently prototyping some algorithms in Matlab that rely on matrix, DSP, statistics and image analysis functionality.

Some examples of what I may need:

• eigenvectors
• convolution in 2D and 3D
• FFT
• Short Time Fourier Transform
• Hilbert transform
• Chebyshev polynomials
• low pass filter
• random multivariate gaussian numbers
• kmeans

Later on I will need to implement these algorithms in C++.

I also have a license for Numerical Recipes in C++, which I like because it is well documented and have a wide variety of algorithms. I also found a class that helps with wrapping NR functions in MEX:nr3matlab.h. So using this class I should be able to generate wrappers that allow me to call NR functions from Matlab. This is very important to me, so that I can check each step when porting from Matlab to C++. However Numerical Recipes in C++ have some important shortcomings:

• algorithms implemented in a simple, and not necessarily very efficient manner
• not threaded

I am therefore considering using another numerical library. The ideal library should:

• be as broad in scope and functionality as possible
• be well documented
• (have commercial support)
• have already made Matlab wrappers
• very robust
• very efficient
• threaded
• (have a GPU implementation that can be turned on instead of the CPU with a "switch")

Which numerical library (libraries) would you suggest?

Thanks in advance for any answers!

Answer 1

You have a pretty long list of requirements, and it may be challenging to cover them all with a single library.

For general Matlab-to-C++ transitions, I can highly recommend Armadillo which is a templated C++ library with a focus on linear algebra --- and a given focus on making it easy to write Matlab-alike expression. It as very good performance, is very well documented and actively maintained. You could start there and try to fill in the missing pieces for your task.