This code accompanies the CppCon 2024 talk Linear Algebra with The Eigen C++ Library, presented by Daniel Hanson. There are additional examples along with code examples shown during the presentation.
The reference implementation of stdBLAS (plus mdspan) is also included in the repository. It works in Visual Studio 2022 if you include the kokkos directory as a subdirectory in your project. You will also need the Eigen header files (header-only library), available here: https://eigen.tuxfamily.org/
So, if your project name is, for example SampleCode, then you should place the following in your include path:
c:\SampleCode\kokkos
c:\YourCppLibraries\eigen-3.4.0
Also, if using Visual Studio, in your project settings, make sure to:
- Use the most recent compiler
- Use the Clang compiler option (the stdBLAS code will not compiler with the VS compiler)
Some supplemental resources:
- Slides from the presentation: https://github.com/CppCon/CppCon2024/blob/main/Presentations/Linear_Algebra_with_The_Eigen_Cpp_Library.pdf
- stdBLAS reference implementation repository and information: https://github.com/kokkos/stdBLAS
- Eigen in quantitative finance (Quantstart article): https://www.quantstart.com/articles/Eigen-Library-for-Matrix-Algebra-in-C
- Eigen chosen for ATLAS Experiment (CERN) tracking software: https://iopscience.iop.org/article/10.1088/1742-6596/608/1/012047/pdf