FFTW


The Fastest Fourier Transform in the West is a software library for computing discrete Fourier transforms developed by Matteo Frigo and Steven G. Johnson at the Massachusetts Institute of Technology.
FFTW is known as the fastest free software implementation of the fast Fourier transform . Like many other implementations, it can compute transforms of real and complex-valued arrays of arbitrary size and dimension in O time.

Library

It does this by supporting a variety of algorithms and choosing the one it estimates or measures to be preferable in the particular circumstances. It works best on arrays of sizes with small prime factors, with powers of two being optimal and large primes being worst case. To decompose transforms of composite sizes into smaller transforms, it chooses among several variants of the Cooley–Tukey FFT algorithm, while for prime sizes it uses either Rader's or Bluestein's FFT algorithm. Once the transform has been broken up into subtransforms of sufficiently small sizes, FFTW uses hard-coded unrolled FFTs for these small sizes that were produced by code generation; these routines use a variety of algorithms including Cooley–Tukey variants, Rader's algorithm, and prime-factor FFT algorithms.
For a sufficiently large number of repeated transforms it is advantageous to measure the performance of some or all of the supported algorithms on the given array size and platform. These measurements, which the authors refer to as "wisdom", can be stored in a file or string for later use.
FFTW has a "guru interface" that intends "to expose as much as possible of the flexibility in the underlying FFTW architecture". This allows, among other things, multi-dimensional transforms and multiple transforms in a single call.
FFTW has limited support for out-of-order transforms. The data reordering incurs an overhead, which for in-place transforms of arbitrary size and dimension is non-trivial to avoid. It is undocumented for which transforms this overhead is significant.
FFTW is licensed under the GNU General Public License. It is also licensed commercially by MIT and is used in the commercial MATLAB matrix package for calculating FFTs. FFTW is written in the C language, but Fortran and Ada interfaces exist, as well as interfaces for a few other languages. While the library itself is C, the code is actually generated from a program called 'genfft', which is written in OCaml.
In 1999, FFTW won the J. H. Wilkinson Prize for Numerical Software.