Armadillo is a C++ linear algebra library
aiming towards a good balance between speed and ease of use. Integer,
floating point and complex numbers are supported, as well as a subset of
trigonometric and statistics functions. Various matrix decompositions are
provided through optional integration with LAPACK and ATLAS libraries. A
delayed evaluation approach is employed (during compile time) to combine
several operations into one and reduce (or eliminate) the need for
temporaries. This is accomplished through recursive templates and template
meta-programming.

Here is a simple implementation of a fast linear regression (note this is
also provided by the
RcppArmadillo
package via the fastLm() function):