There was a fair bit of incidental information in the discussion. If anyone wants to formalise things a little further one good place to put is the Boost Wiki. There is already a page there regarding uBLAS and a page on uBLAS and Linear Algebra which could be usefuly updated and extended.
David originally asked about the following techniques.
LU factorization Cholesky factorization Gaussian Elimination Ordinary Least Squares Regression
Most of these are well covered by the current set of uBLAS binding to Atlas. Going a little further from Least Squares to general estimation techniques it may be worth looking at my one Bayes++ library. This is uBLAS based and does all the linear algebra work for a wide range of estimation techniques. Least squares can be simply implemented as stationary model. See http://bayesclasses.sourceforge.net/
Michael
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