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)
* 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
* 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.