ALGLIB is a cross-platform numerical analysis and data processing
library. ALGLIB features include:

- Linear algebra (direct algorithms, EVD/SVD)
- Solvers (linear and nonlinear)
- Interpolation
- Optimization
- 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)