ALGLIB

ALGLIB
ALGLIB
Original author	Bochkanov Sergey Anatolyevich
Developer	ALGLIB LTD (UK)
Stable release	4.06 / 7 October 2025; 12 months ago
Operating system	Cross-platform
Type	Numerical library
License	Dual (commercial, GPL)
Website	www.alglib.net

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: