I tried yum install gcc-c++, however, the repos have an old version (4.1) which causes lots of problems and stops me from building a library. I would like to update it to latest. How can I do that?

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You're referring to CentOS 5.x, based on the version number in your post. You can upgrade to gcc44-c++, which is a slightly-newer version 4.4. This is available in the base repo using yum.

Try yum install gcc44-c++.

Once installed, the executable you'd use will be /usr/bin/g++44 instead of /usr/bin/g++.

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this is great, so much easier than I expected to be... – Valentin Radu Sep 20 '11 at 12:41
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