The c++ 'Eigen' library. It is by far the best library if you're in need of maths constructs, speed wise. And the only maths library that has an API that isn't a pain to use.

"Eigen"? Sounds like a German guy hacked something together for himself to use that dropped public and he could not rename it anymore.

@Benedikt It does sound like that, I don't disagree.
The name properly referes to the concept of eigenvectors, eigenfunctions, and so on....

@Batburger I didn't know of them, very interesting!
And it is indeed a Germanism coming from the German word "eigen".

Yeah, Eigenvalues, Eigenvectors. Gotta say, Eigen is well known and extremely potent. I will also say though, debugging errors related to Eigen matrix initialisation and such is a huge pain. You get used to the messages, but dear lord.

Source: About to hand in my thesis, large chunks of which utilize Eigen.

@Maer It is one of those things where one gets used to the behavior of the library and can guess at whats wrong pretty reliably.

The math support in Julia is second to none if you want to go a different route.