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Dense computations in Eigen can be threaded using OpenMP. This should be carefully explored: we want to avoid introducing race conditions in code that depends on the library.
Ideas linked to #136
http://eigen.tuxfamily.org/dox/TopicUsingBlasLapack.html
http://eigen.tuxfamily.org/dox/TopicUsingIntelMKL.html
This could represent an easy performance gain.
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