ALGLIB
ALGLIB is a cross-platform open source numerical analysis and data processing library. It can be used from several programming languages.
ALGLIB started in 1999 and has a long history of steady development with 3 releases per year. It is used by several open-source projects, commercial libraries, and applications.
Features
Distinctive features of the library are:- Support for several programming languages with identical APIs
- Self-contained code with no mandatory external dependencies and easy installation
- Portability
- Two independent backends with automatically generated APIs
- Same functionality of commercial and GPL versions, with enhancements for speed and parallelism provided in the commercial version
- Mixed-integer optimization, with support for analytic and derivative-free MINLP problems.
- Continuous optimization, with LP, QP, QCQP, SOCP and NLP solvers, derivative-free global solvers and multiobjective optimization algorithms.
- Linear algebra, offering a comprehensive set of both dense and sparse linear solvers and factorizations
- Interpolation, featuring standard algorithms like polynomials and 1D/2D splines, as well as several unique large-scale interpolation/fitting algorithms. These include penalized 1D/2D splines, fast thin plate splines and fast polyharmonic splines, all scalable to hundreds of thousands of points.
- Least squares solvers, including linear/nonlinear unconstrained and constrained least squares and curve fitting solvers
- Data analysis, with various algorithms being implemented
- Fast Fourier transforms
- Numerical integration
- Ordinary differential equations
- Special functions
- Statistics
- Multiple precision versions of linear algebra, interpolation and optimization algorithms