ALGLIB is a cross-platform open source numerical analysis and data processing library. It can be used from several programming languages (C++, C#, VB.NET, Python, Delphi, Java).
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 (e.g. TOL project, Math.NET Numerics, SpaceClaim).
Features Distinctive features of the library are: Support for several programming languages with identical APIs (C++, C#, FreePascal/Delphi, VB.NET, Python, and Java) Self-contained code with no mandatory external dependencies and easy installation Portability (it was tested under x86/x86-64/ARM, Windows and Linux) Two independent backends (pure C# implementation, native C implementation) with automatically generated APIs (C++, C#, ...) Same functionality of commercial and GPL versions, with enhancements for speed and parallelism provided in the commercial version
The most actively developed parts of ALGLIB are:
Mixed-integer optimization, with support for analytic and derivative-free MINLP problems. Continuous optimization, with LP, QP, QCQP, SOCP (and other conic problem types) 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
The other functions in the library include: Fast Fourier transforms Numerical integration Ordinary differential equations Special functions Statistics (descriptive statistics, hypothesis testing) Multiple precision versions of linear algebra, interpolation and optimization algorithms (using MPFR for floating point computations)
See also
List of numerical analysis software List of numerical libraries List of open-source mathematical libraries
References
External links Official ALGLIB website