C ++中的Eigen库是否具有动态矢量或矩阵

Question

Is there a way to set a dynamic vector or matrix in Eigen library? If not, is there a way to still use the Eigen library in conjunction with another class like vector ?

For example let's say I have n*1 matrix called MatrixXd S(n,1); Now for simplicity let n=3 and S = 4 2 6 . Pretend that the elements in S are future stock prices and let K = 2 which will be the strike price. Don't worry you won't need to understand the terminology of an option. Now say I want to know at what positions of S will we have S - K > 0 and say I want to store these positions in a vector call b .

Clearly, depending on the elements of S the vector b will be of a different size. Thus, I need to have b being of a dynamic variable. The only class I am familiar with that allows this is the vector class ie, #include <vector> .

My question is as follows: Is it okay to use the Eigen library and the #include <vector> class together? Note that I will be performing operations of b with the Eigen library vectors and matrices I have created.

If I am not making sense, or if my question is unclear please let me know and I will clarify as much as possible.

Answer 1

Yes, it does. It's presented in the " A simple first program " of Getting started :

#include <iostream>
#include <Eigen/Dense>
using Eigen::MatrixXd;
int main()
{
  MatrixXd m(2,2);
  m(0,0) = 3;
  m(1,0) = 2.5;
  m(0,1) = -1;
  m(1,1) = m(1,0) + m(0,1);
  std::cout << m << std::endl;
}

You do need to pass the size to the constructor, but it's works like a vector . You can resize it later on too.

MatrixXd is a convenient typedef to a Matrix template which uses Dynamic as a template value for Rows , and Cols . It's basically Matrix<double, Dynamic, Dynamic> .

So you can have not only dynamic sized vectors and matrices, but also arbitrarily large fixed-size ones. Eigen does pretty nifty optimizations for small matrices, so using a fixed size there might be beneficial.