ALGLIB is a cross-platform numerical analysis and data processing library.
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)
