ver slow compared to Eigen3 - https://github.com/jewettaij/jacobi_pd

compute_eig.cpp

      int n = (int)Amm.rows();
      double **M = new double *[n];
      double *evals = new double[n];    // Store the eigenvalues here.
      double **evecs = new double *[n]; // Store the eigenvectors here.
      for (int r = 0; r < n; r++) {
        M[r] = new double[n];
        evecs[r] = new double[n];
        for (int c = 0; c < n; c++) {
          M[r][c] = Amm(r, c);
        }
      }
      jacobi_pd::Jacobi<double, double *, double **> eigen_calc(n);
      int status = eigen_calc.Diagonalize(M, evals, evecs,
                                          jacobi_pd::Jacobi<double, double *, double **>::eSortCriteria::SORT_INCREASING_EVALS, true, 20);
      std::cout << "JACOBI_PD: status " << status << std::endl;
      std::cout << "JACOBI_PD: eigenvalues:  ";
      for (int i = 0; i < n; i++)
        std::cout << evals[i] << " ";
      std::cout << std::endl << std::endl;
      //      for (int i = 0; i < n; i++) {
      //        cout << "JACOBI_PD: eigenvector" << i + 1 << ": ";
      //        for (int j = 0; j < n; j++)
      //          cout << evecs[i][j] << " ";
      //        cout << endl;
      //      }
      for (int r = 0; r < n; r++)
        delete[] M[r];
      delete[] M;
      delete[] evals;
      for (int r = 0; r < n; r++)
        delete[] evecs[r];
      delete[] evecs;