I have had some success with converting my MATLAB code to C++. There are some caveats, from array indexing (minor), to missing functions (less trivial to fix). In case people are looking for solutions to these problems, I’ve posted some sample code.
To motivate the conversion a little bit more, my code spends 99% of its time computing FFTs. I initially found that FFT benchmarks in MATLAB were comparable to C++, which can be explained by the fact that MATLAB calls FFTW libraries which are well optimized. However, I wasn’t using a well-optimized array implementation so the real improvement came when I found John Bowman’s fftw++ headers and Array class. In the end, re-writing my code with these data structures results in a 2-4x speedup over MATLAB. The additional advantage is that a portion of my simulation is embarrassingly parallel so C++ makes it easy to exploit that.