A while ago we had a discussion of using threads to speedup some operations. I just found out that Eigen has implemented a threadpool:
So if we go in this direction, then using the Eigen stuff will probably be a good thing to do.
We might be able to find a better thread pool implementation than Eigen’s unsupported version.
A related comment is that Eigen doesn’t (un)support much threading—just matrix-matrix multiply in terms of what I can see that might be useful to us.