ALGLIB is a cross-platform numerical analysis and data processing library.
It supports several programming languages (C++, C#, Pascal, VBA) and several operating systems (Windows, Linux, Solaris). 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).
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dotnet add package alglibnet2
paket add alglibnet2