Are there any eigenvalue decomposition methods in C++ faster than MATLAB's eig function?

Question

Why does the eig() in MATLAB run so fast? How does it make? I use the Eigen's EigenSolver, it is very slower than MATLAB. Using Intel-MKL? Can we achieve equal or higher performance than MATLAB? or BLAS/LAPACK/ATLAS/ARPACK/OpenBLAS/GotoBLAS/ACML? What is the industrial solutions of eigenvalue decomposition?

Answer 1

Matlab uses MKL as its BLAS and LAPACK backend. And MKL is the fastest (in almost all the cases) library for BLAS and LAPACK on Intel CPUs.

You could use these command to check the version of MKL used by Matlab

>> version -blas
>> version -lapack

See this link for some benchmark results done by Intel himself.

http://software.intel.com/en-us/intel-mkl#pid-12780-836