alglib

Numerical analysis and data processing library

A cross-platform numerical analysis and data processing library. It supports several programming languages (C++, C#, Pascal, VBA) and several operating systems. ALGLIB features include: * Data analysis (classification/regression, including neural networks) * Optimization and nonlinear solvers * Interpolation and linear/nonlinear least-squares fitting * Linear algebra (direct algorithms, EVD/SVD), direct and iterative linear solvers, Fast Fourier Transform and many other algorithms (numerical integration, ODEs, statistics, special functions) This is a free edition of alglib.