NAG Library for C and C++
NAG Library for C and C++ features 1452 routines, all of which are documented. It includes extensions in the areas of statistics, nonlinear equations, wavelet transforms, ordinary differential equations, interpolation, surface fitting, optimization, matrix operations, linear algebra, large scale linear systems, and special functions. The library’s mathematical and statistical routines enable it to be used across multiple programming languages, environments and operating systems, including Excel, Java, Microsoft .NET and Visual Basic. Mathematical and statistical functionality includes Matrix Operations, Nearest Correlation Matrix, skip ahead for the Mersenne Twister random number generator, L’Ecuyer random number generator, Interpolation and Two-dimensional Wavelets. Optimization Techniques include Multi-start Optimization, Minimization by Quadratic Approximation (BOBYQA), Stochastic Global Optimization using Particle Swarm Optimization, Quantile Regression and Sparse Nonlinear functions.