I need to compute the generalized eigenvalue and eigenvector of two large sparse matrices A and B in C++, and it seems hard to find any pratical solution. https://github.com/yixuan/spectra doesn’t support two matrices. I tried https://github.com/libigl/libigl/blob/master/include/igl/eigs.cpp, but this code gives some wrong results. Is there anybody who knows any better way to solve this? By the way, it’s would be better if the code is compatible with Eigen.
Source: Windows Questions C++