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I have to invert large, but densely populated matrices with higher precision arithmetic. Therefore I am looking for something like the PLASMA library, which can do Cholesky or LU factorization in parallel on shared memory machines. Unfortunately it does support only classical float or double arithmetic. Therefore I am looking for a templated library with the same features, but the ability to use arbitrary precision data types.

Thanks a lot!

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  • $\begingroup$ Look around and see if you can find similar questions here where Eigen is an answer. $\endgroup$
    – Jeff Hammond
    Nov 27 '15 at 3:55
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Elemental available at libelemental.org may have what you ask. From the documentation for release 0.84:

Though Elemental does not yet fully support computation over arbitrary fields, the vast majority of its pieces do. Moving templated implementations into header files is a necessary step in the process and also allowed for certain templating techniques to exploited in order to simplify the class hierarchy.

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  • $\begingroup$ Elemental support for arbitrary precision is definitely WIP but should improve with time. $\endgroup$
    – Jeff Hammond
    Dec 1 '15 at 2:11

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