I need to solve a linear least-squares contrained optimization problem.
Do you know any open source C/C++ library for this?
I found GLPK by googling, but I am confused whether it can be compiled
by msvc compiler.
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I don’t know any libraries specifically for that, but you could check
in the Boost libraries. It has a lot of data structures and algorithms
related to linear algebra.
Thanks for your reply. But it does not have any optimization function
I don’t know any specific library neither, but this list:http://www.oonumerics.org/oon/
Also, if it doesn’t have to be C++, you could use MATLAB/Octave.
Exactly what are you doing?
A well-established library is LAPACK. Originally a Fortran library,
there are umpteen language bindings for it. I’m sure you can find lots
of instructions for using it under msvc on the net.
Check out http://www.alglib.net/ as another
Lastly, another algo to look at is