Multivariate Regression open source Quant development APIs, frameworks and Libraries for C++ and C#

(Last Updated On: November 11, 2011)

Multivariate Regression  open source Quant development APIs, frameworks and Libraries for C++ and C#

I am working in C++ and do the Multivariate Regression. I am avoiding to write complete code. Does anyone can suggest library for it?


Below, I have some useful links to do your work. Most of them are open source projects and there are capable of solving a range of complex mathematical proplems. I hope it helps…

(1) project linear Regression


(2) project multiple linear Regression


(3) Partial Least Squares Analysis and Regression in C#


(4) Linear Regression in ALGLIB C# and C++


(5) DotNumerics (C#) Includes: Linear Algebra (CSLapack, CSBlas and CSEispack)., Differential Equations, Optimization


(6) Meta.Numerics (C#) library features include complex numbers and other mathematical objects, special functions, numerical calculus, statistics and data analysis, linear algebra, and Fourier transforms.


(7) A generic linear algebra toolkit in C# Compatible with Silverlight.


(8) Deltix’s FinMath numerical library provides object-oriented components for mathematical, scientific, and financial applications on the .NET platform

• BLAS (Basic Linear Algebra Subroutines)
• LAPACK (Linear Algebra PACKage)
• Fast Fourier Transform
• Vector Math Library
• Vector Random Number Generators
• Summary Statistics Library


(9) Math.NET is a mathematical opensource toolkit written in C# for the Microsoft .Net platform. Math.NET aims to provide a self-contained clean framework for both numerical scientific and symbolic algebraic computations.




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