Call Lapack in C code:

use the grid class
http://oldmill.uchicago.edu/~wilder/Code/grid/

What is interesting about this C++ grid class?

• Simplicity. The class is (really) easy to build and use. This code compiles and runs fine without using any external libraries, but it can be compiled with optimized BLAS/LAPACK libraries to optimally run matrix computations.
• Speed. Many libraries are very clever in the way they optimize matrix calculations to avoid unnecessary copying and to carefully arrange the order of computations. My experience is that speed considerations are either irrelevant, in which case the optimizations are also not important, or critical, in which case other libraries often still do not get it quite right. This class provides simple interfaces to BLAS/LAPACK routines that can be called directly for these critical computations.
• Familiarity. The syntax is, in many ways, similar to what is used in 'R', and it is easy for people who are not experts in C++ to use.

OR, you can use the library(GSL):
http://www.gnu.org/software/gsl/