I'm coming across all sorts of interesting things today. Another C++ library I've encountered is the GSL - GNU Scientific Library. From the web-site, it is:
a numerical library for C and C++ programmers. It is free software under the GNU General Public License.
The library provides a wide range of mathematical routines such as random number generators, special functions and least-squares fitting. There are over 1000 functions in total with an extensive test suite.
Some of the subject areas covered include:
Complex Numbers | Roots of Polynomials | Special Functions |
Vectors and Matrices | Permutations | Sorting |
BLAS Support | Linear Algebra | Eigensystems |
Fast Fourier Transforms | Quadrature | Random Numbers |
Quasi-Random Sequences | Random Distributions | Statistics |
Histograms | N-Tuples | Monte Carlo Integration |
Simulated Annealing | Differential Equations | Interpolation |
Numerical Differentiation | Chebyshev Approximation | Series Acceleration |
Discrete Hankel Transforms | Root-Finding | Minimization |
Least-Squares Fitting | Physical Constants | IEEE Floating-Point |
Discrete Wavelet Transforms |