Wikipedia
ALGLIB
ALGLIB is a cross-platform open source numerical analysis and data processing library. It is written in specially designed pseudocode which is automatically translated into several target programming languages (C++, C# and other). ALGLIB is relatively young project - active development started only in 2008, while GSL, for example, has 14 years long history. However, it is actively developed with new releases every 1–2 months.
ALGLIB is used by several open source and commercial libraries/applications (e.g. TOL project, Math.NET Numerics, SpaceClaim). Multiple precision edition of ALGLIB is planned to be included into SAGE (open source computer algebra system).