This terrein is like being the in the Empty Quarter
Long story short .. It took one of us 2 weeks to get how it worked (eventually finding the details from a Chinese web site..)
pybind11 has marshalling interface to Eigen library. But for other matrix types
1. Write interface to Eigen, easy?
2. Write interface to pybind11, time-consuming a.s.
For 1, speed is not a concern since the training is done offline anyways. It takes 2 hours to compute 5 million datapoints (Heston) and store them in MySQL for later processing.