问题:

I use Visual Studio with DiretX XNA math library. Now, I use GNU compiler collection. Advise me a SIMD math library with a good documentation.

回答1:

Eigen http://eigen.tuxfamily.org/index.php?title=Main_Page

It supports SIMD extensions out of the box, it is well documented, it is quite flexible, it provides a lot of quality implementation of linear algebra methods, and have all the overloaded operators goodness. I've used it for several science-related projects, was very happy, especially after playing with others libraries.

回答2:

There is NT2 library. http://nt2.sourceforge.net/

This library has plan, proposal to Boost C++ Libraries.

回答3:

How about built-in one? http://ds9a.nl/gcc-simd/

回答4:

The Intel ICC compiler comes with an SSE-optimised math library called MKL.

回答5:

Bullet Physics Engine has a small matrix math library optimized for SSE and PS3.

Another library that might be interesting to you is Intel Integrated Performance Primitives. This library is well optimized, but it is not free, and no source code is available.