Alglib3

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

• Data analysis (classification/regression, statistics)
• 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