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Can anyone recommend a freely available library in C or C++ that is able to calculate eigenvalues and eigenvectors of generalized eigenvalue problems. e.g. of the type:

Au = LBu

where A and B are matrices, L is the eigenvalue, and u is the eigenvector.

N.B. the GNU Scientific library was my first thought, but it can only do standard eigenvalue problems, not those of the generalized type.