Hi Sébastien, I am aware of this library (and I used it) since years. You seem to have forgotten, but I mentionned this possibility at that time (when you were looking for such a library). I don't remember why you decided not to use it and to build your own matrix classes for dynare... I like very much this library: it's nice, templated and (very) well documented. As you say multithreading is still preliminary... So I don't think it would be worth switching now. Because we need multithreading. However, I now that it is possible to link mkl with Eigen, see http://eigen.tuxfamily.org/dox-devel/TopicUsingIntelMKL.html This solves the multithreading issue. It's ok for personal use (we can obtain a free mkl under linux), but I don't know if it's possible to link with the mkl shipped with matlab (It must be possible but I never tried). Best, Stéphane. On 24/02/2012 12:04, Sébastien Villemot wrote:

A Debian developer recently pointed me at this free C++ library for linear algebra:

http://eigen.tuxfamily.org/index.php?title=FAQ

Basically it is as fast as MKL (on a single thread, multi-threading support is still preliminary), and it has a very nice syntax.

I regret I did not know it when we started implementing the Estimation DLL. I am not sure if it is worth switching now. But we should definitely consider the possibility.

Best,

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