Just stumbled across this old thread, while exploring/refreshing
some basic matrix algebra stuff. The use of BLAS/LAPACK or the older
EISPACK et al library routines is a commonly recommended approach. Unfortunately those libraries are really FAT and reqire a lot of
resources in embedded applications .. if you're not using Raspberries...

For the few people doing numeric linear algebra here, I thought
the following compressed LAPACK library might be of interest:

https://github.com/DanielMartensson/EmbeddedLapack

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