Eigen is a lightweight C++ template library for vector and matrix math, a.k.a.
linear algebra.
Unlike most other linear algebra libraries, Eigen focuses on the simple
mathematical needs of applications: games and other OpenGL apps, spreadsheets
and other office apps, etc. Eigen is dedicated to providing optimal speed with 
GCC. 
Its fixed-size classes are specially optimized for small sizes up to 4,
although it is theoretically possible to specialize them to any size. They
never cause dynamic memory applications and the simple operations on them are
as fast as is possible at least for sizes up to 4 (see below). 
Its dynamic-size classes are more flexible and suitable for larger sizes. 
Both fixed-size and dynamic-size classes use the same underlying C++ code,
thanks to a curiously recurring template pattern.

WWW:	http://eigen.tuxfamily.org/