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I've also heard very good things about the IMSL Visual Numerics math libraries.
@Noldorin: I'd write to Jeremy at extreme numerics and ask if he could provide you a research license since you're a student, and it's not being used commercially.
Unfortunately, they're not really options for me given that they only support up to 4x4 matrices in size!
I'm afraid I need something that can handle matrices with 1000s of rows/columns, and ideally handle sparse ones efficiently (when it comes to multiplication for example).
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