This is a C++ library for Numerical Computation and Signal Processing. All of the algorithms is implemented by C++ template classes, and organized by ".h" files, so you don't need compile them by yourself.

The SP++ is also published at "Open Source China", the blog publishing URL is: http://my.oschina.net/zmjerry/blog.

The algorithms implemented in SP++ are as follow:

1 Vector Class Template

1.1 Basic Vector Class

1.2 Vector Version for Often Used Functions

1.3 Utilities Functions

1.4 A Simple Timer

2 Matrix Class Template

2.1 Basic Matrix Class

2.2 Matrix Version for Often Used Functions

2.3 Cholesky Decomposition for Real and Complex Matrix

2.4 LU Decomposition for Real and Complex Matrix

2.5 QR Decomposition for Real and Complex Matrix

2.6 SVD Decomposition for Real and Complex Matrix

2.7 Eigenvalue Decomposition for Real and Complex Matrix

2.8 Inversion and Pseudoinversion for Real and Complex Matrix

3 System of Linear Equations

3.1 Common Linear Equations

3.2 Undetermined Linear Equations

3.3 Rank Defect Linear Equations

4 Nonlinear Equation and Equations

4.1 Root of Nonlinear Equation

4.2 Root of Nonlinear Equations

4.3 Romberg Numerical Integration

5 Interpolation and Fitting

5.1 Newton Interpolation

5.2 Cubic Spline Interpolation

5.3 Least Squares Fitting

6 Optimization Method

6.1 Line Searching

6.2 Steepest Descent Method

6.3 Conjugate Gradient Method

6.4 BFGS Method

7 Fourier Transform

7.1 FFT for Signal with Length of 2^n

7.2 FFT for Signal with Arbitrary Length

7.3 A Friendly Used Version of FFT

7.4 C++ Interface for FFTW

7.5 Convolution and Its Fast Algorithm

8 Digital Filter Design

8.1 Widow Functions

8.2 Basic Class for Filter Design

8.3 FIR Digital Filter Design

8.4 IIR Digital Filter Design

9 Random Signal Processing

9.1 Random Number Generator

9.2 Often Used Functions for Probability and Statistics

9.3 Correlation and Its Fast Algorithm

10 Power Spectrum Estimation

10.1 Classical Estimation Methods

10.2 Parameter Estimation Methods

10.3 Eigenanalysis Estimation Methods

11 Adaptive Filters

11.1 Wiener Filter

11.2 Kalman Filter

11.3 LMS Adaptive Filters

11.4 RLS Adaptive Filters

12 Time-Frequency Analysis

12.1 Widow Fourier Transform

12.2 Discrete Gabor Transform

12.3 Wigner-Wille Distribution

13 Wavelet Transform

13.1 Continuous Wavelet Transform

13.2 Dyadic Wavelet Transform

13.3 Discrete Wavelet Transform

14 Searching and Sorting

14.1 Binary Search Tree

14.2 AVL Tree

14.3 Basic Sorting Algorithm

14.4 Huffman Code