If you are looking for high performance sparse matrix implementation check out NMath from CenterSpace software.
Here's a partial list of functionality cut from here on CenterSpace's website.
- Full-featured structured sparse
matrix classes, including triangular,
symmetric, Hermitian, banded,
tridiagonal, symmetric banded, and
Hermitian banded.
- Functions for
converting between general matrices
and structured sparse matrix types.
- Functions for transposing structured
sparse matrices, computing inner
products, and calculating matrix
norms.
- Classes for factoring
structured sparse matrices, including
LU factorization for banded and
tridiagonal matrices, Bunch-Kaufman
factorization for symmetric and
Hermitian matrices, and Cholesky
decomposition for symmetric and
Hermitian positive definite matrices.
Once constructed, matrix
factorizations can be used to solve
linear systems and compute
determinants, inverses, and condition
numbers.
- General sparse vector and
matrix classes, and matrix
factorizations.
- Orthogonal
decomposition classes for general
matrices, including QR decomposition
and singular value decomposition
(SVD).
- Advanced least squares
factorization classes for general
matrices, including Cholesky, QR, and
SVD.
- LU factorization for general
matrices, as well as functions for
solving linear systems, computing
determinants, inverses, and condition
numbers.
Paul