Sergey,
Thanks for the reply. That all sounds promising. I will probably be moving forward with ALGlib on my DSP project in December (Just finishing up some of the test algorithms in MATLAB and will be porting to C++ soon after).
Thanks for the info and all your support for ALGlib, can't wait to get started with it.
*Edit* - I should note that I successfully ported over a trimmed down version of LPSOLVE(
http://lpsolve.sourceforge.net/) into Ti DSP C++ and dealing with all its dependencies was a pain, luckily the core math procedures had no dependencies, mainly the reporting functionality was heavily windows library dependent. I also ported a polynomial root finder from (
http://www.akiti.ca/rpoly_ak1_cpp.html) which pretty much worked right out of the copy and paste...