ALGLIB: numerical analysis and data processing library

http://www.alglib.net/

About ALGLIB

ALGLIB is a cross-platform numerical analysis and data processing library. It supports several programming languages (C++, C#, Pascal, VBA) and several operating systems (Windows, Linux, Solaris). ALGLIB features include:

• Linear algebra (direct algorithms, EVD/SVD)
• Solvers (linear and nonlinear)
• Interpolation
• Optimization
• Fast Fourier transforms
• Numerical integration
• Linear and nonlinear least-squares fitting
• Ordinary differential equations
• Special functions
• Statistics (descriptive statistics, hypothesis testing)
• Data analysis (classification/regression, including neural networks)
• Multiple precision versions of linear algebra, interpolation optimization and others algorithms (using MPFR for floating point computations)

Why to choose ALGLIB? Because it is:

• portable. It can be compiled almost anywhere using almost any compiler (see compatibility matrix for more info).
• easy to use. It supports many programming languages. If you use one language, you don't need to study another (FORTRAN, for example) to compile and link an external library.
• open source. It can be used for free under GPL 2+.
• suited for commercial users too. Those who want to use ALGLIB in commercial applications can buy commercial license without copyleft requirement.