Hello!
The main idea of ALGLIB project is that same functionality is provided in all versions (C++, pure C#, Python, ...). Another idea is that ALGLIB is written in pseudocode which is automatically translated into target languages. It means that we can't use UMFPACK because a) it is not written in pseudocode, and b) in can't be included into at least one version of ALGLIB - one which is written in pure C#.
Maybe things will change in the future, but I think that it won't be included into ALGLIB at least for several years.
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