I don’t know any libraries specifically for that, but you could check out uBLAS in the Boost libraries. It has a lot of data structures and algorithms related to linear algebra.

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http://www.oonumerics.org/oon/

may help.

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 option.

Lastly, another algo to look at is RANSAC.

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Hi,

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.