alglib

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