ALGLIB

ALGLIB is a numerical analysis library which can be used from several programming languages - C#, C++, Python and even more.
It implements linear algebra functions (subset of LAPACK), linear solvers, ODE solvers, nonlinear optimization, interpolation/fitting, integration, fast transforms, data analysis and machine learning algorithms.

ALGLIB is distributed under dual license:

• GPL 2+ for open source users
• commercial license for users who don't want to use GPL

This website is a CodePlex mirror for a C# version of ALGLIB, distributed under GPL 2 (due to license restrictions of CodePlex). Thus, only GPL version of ALGLIB for C# can be downloaded from this site.
If you want to use ALGLIB from other languages (or under other licenses), you can proceed directly to official ALGLIB website - http://www.alglib.net/