ALGLIB

About

ALGLIB is a cross-platform library for numerical analysis and data processing. It supports several programming languages including Free Pascal and several operating systems (Windows, Linux, Solaris).

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)

License:

• ALGLIB Free Edition is licensed according to GPL.
• ALGLIB Commercial Edition is sold via a commercial license.

Download

Official site: http://www.alglib.net