You might have to look at a few libraries to satisfy all your requirements. For the basic linear algebra there are many options, but as you start looking for optimization libraries the choices get more tricky.Start with Math.NET Numerics, which is free and actively under development, coming out of the merger of two older projects, dnAnalytics and Math.NET. I don't think it has any optimization stuff, but has wrappers for native LA libraries like Intel's MKL. I've used this from time to time for simple linear algebra with no problems.ALGLIB which is a long-running multi-language algorithms library, with some optimization (mainly unconstrained) and a wide range of different topics. There is good and bad from its multi-language approach: it doesn't feel like a regular .NET library, but you might use the same algorithms from different languages. Certainly worth browsing around for while.A bit more specialized, but perhaps worth a look is Meta.Numerics which is strong on special functions and statistics.You might also investigate some of the commercial options, including CenterSpace NMath which has math and stats libraries, including constrained nonlinear optimization using SQP and Extreme Optimization which is a very comprehensive and prominent .NET numerical library for many years.-GovertExcel-DNA - Free and easy .NET for Excel.
Last edited by Govert
on March 6th, 2011, 11:00 pm, edited 1 time in total.