Questions tagged [eigen]
Eigen is a C++ template library for linear algebra: matrices, vectors, and related algorithms.
20 questions
5 votes
1 answer
164 views
Accelerating computation of a "2D Variance" using C++ and Eigen in a MEX function
I have the following function in Matlab: ...
- 417
8 votes
3 answers
2k views
Why/How is Matlab's circshift function so efficient?
I have the following function in Matlab: ...
- 417
-4 votes
1 answer
253 views
matrix multiplication in C++ [closed]
I have the following function that takes too long to execute. I need to made this at least 2x times faster. ...
- 1
4 votes
1 answer
751 views
Implementation of Iterative Closest Point in C++
Here, is my implementation of Iterative Closest Point algorithm in C++. The code is written using the Eigen library. I have tried to implement an efficient coding methodology best to my knowledge ...
2 votes
2 answers
292 views
Coordinate Descent Non-negative Least Squares optimization
In my fast implementation of Non-negative Matrix Factorization (Rcpp Machine Learning Library, RcppML), about 40% of the runtime is spent solving Non-negative Least Squares (NNLS) systems (the rest of ...
- 153
3 votes
1 answer
285 views
Fractional indexing and interpolation to reconstruct an image
I have a c++ project written as a Matlab Mex program that is constructing an image composed of IxJ pixels. Each pixel value is calculated by finding the contributions to that pixel from all the ...
- 417
3 votes
1 answer
2k views
Transforming from spherical coordinates to Cartesian coordinates using Eigen
I need to transform the coordinates from spherical to Cartesian space using the Eigen C++ Library. The following code serves the purpose: ...
- 133
6 votes
1 answer
301 views
Multivariate normal density using Woodbury matrix inversion lemma
I'm trying to speed up by multivariate normal density function by taking advantage of the fact that the covariance matrix is of the form A + U C U'. The inverse of such a matrix can be calculated ...
- 303
0 votes
2 answers
267 views
Writting “A Simple Least-Squares Approach” by Longstaff and Schwartz into a C++ class
Background: I have posted a similar question here. I followed the suggestions of @ Ben Steffan and made the appropriate changes despite number 6 that I did not understand and number 7. Question: ...
- 159
3 votes
1 answer
796 views
Writting "A Simple Least-Squares Approach" by Longstaff and Schwartz; pricing American option contracts
Background: I have made a post about this on another account here. I am writing the least squares algorithm into a class in C++ and I want to make sure that what I am doing is the most efficient and ...
- 159
2 votes
0 answers
470 views
Forward Monte Carlo Algorithm in C++
Background Information: Here is an outline of the algorithm known as Forward Monte Carlo for pricing American options which is from the paper, "A Forward Monte Carlo Method for American Options ...
- 219
5 votes
1 answer
1k views
Optimizing a function in Eigen
I'm a beginner in C++ and I would appreciate advices to optimize the following function I wrote with Eigen (in fact, to be used with RcppEigen). So far, I observe a 3.5x speed-up compared to the ...
- 159
4 votes
0 answers
1k views
Logistic regression with eigen
I am a new to Eigen, and I implemented a logistic regression model with it. It works but I don't know whether it is implemented in an efficient way. ...
- 41
4 votes
1 answer
428 views
Simple neural-network simulation in C++ (Round 3)
As I mentioned at the end of my Round 2 answer, I've needed to expand my code in order to produce faithfully the data needed for Figure 1 of this paper. Unfortunately, the updates have made my script ...
- 329
4 votes
1 answer
320 views
Simple neural-network simulation in C++ (Round 2)
Intro Yesterday I posted this question. Since then, I've updated my code to incorporate these suggestions. I've also removed the dependence on C++11. Finally, I've made the following changes that ...
- 329