When you are doing some computations in C++ you might not want to write everything yourself including optimizing advanced algorithms. You would want to reuse code or write it in a numerical computing environment such as matlab, octave, R, or python. In this post I link to sources that explain how to include such high-level code in C++ or to call it from a C++ program.
How to embed matlab code in C++? Seems a little involved but works on windows and linux.
How to embed octave code in C++? See this post for examples (haven't tried it myself).
How to embed GNU R code in C++? Seems very simple. Use Rinside!
You'll find explanations of embedding python in C++ in this article and this post.
Disclaimer: Of the linked material, I only saw Rinside in action.
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