This article presents some of the currently available options for open source C/C++ matrix libraries employable within a Linux environment. Particular libraries discussed are Meschach, which provides routines for operating on matrices and vectors for projects coded in C, the Cooperware Matrix (CwMtx) for C++ coding, and Blitz, which provides an n-dimensional array class for C++ with integral, floating, complex, and well-behaved, user-defined types. Andrew Blais, who has contributed several articles to developerWorks, is a researcher and writer for Gnosis, Inc., and does work in neural nets.

The article assumes some familiarity with C/C++ and a preoccupation with the fact that C/C++ per se lacks matrix functionality. You may be analyzing econometric data or modeling rain forests. As for me, I work with neural nets, the implementation of which is greatly simplified by a matrix or two. Although C/C++ includes containers that can be considered matrices (such as arrays and, in the Standard Library, vectors, lists, and maps), a container that actually is a matrix would make the tasks at hand far easier. So we’re going to look at three open source options that don’t require you to build your matrices from scratch, but do allow you to tweak your matrix library. This is especially good if you anticipate needing to tweak it in as yet unforeseen ways.

You can find the complete article here. http://www.ibm.com/developerworks/linux/library/l-matrix.html

The linked article is seriously outdated (it’s from 2002).

For an example of a more recent C++ matrix library, have a look at Armadillo: http://arma.sourceforge.net