GSL - GNU Scientific Library

The GNU Scientific Library (GSL) 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.
The complete range of subject areas covered by the library includes,
Complex Numbers Roots of PolynomialsSpecial Functions Vectors and MatricesPermutations SortingBLAS Support Linear AlgebraEigensystems Fast Fourier TransformsQuadrature Random NumbersQuasi-Random Sequences Random DistributionsStatistics HistogramsN-Tuples Monte Carlo IntegrationSimulated Annealing Differential EquationsInterpolation Numerical DifferentiationChebyshev Approximation Series AccelerationDiscrete Hankel Transforms Root-FindingMinimization Least-Squares FittingPhysical Constants IEEE Floating-PointDiscrete Wavelet Transforms Basis splinesUnlike the licenses of proprietary numerical libraries the license of GSL does not restrict scientific cooperation. It allows you to share your programs freely with others.
The project website is : http://www.gnu.org/software/gsl/