A cross-platform numerical analysis and data processing library. It supports
several programming languages (C++, C#, Pascal, VBA) and several operating
systems. 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)

This is a free edition of alglib.

WWW: http://www.alglib.net