forum.alglib.net

I want to use it for PX4 project, https://docs.px4.io/main/en/. I want to use this lib to solve an LP problem of a control allocation of aircraft.

If it has double precision floating point support (hardware or software), then you can simply compile ALGLIB without OS-specific and CPU-specific #defines. It will work as a generic C code that does not use any 'advanced' OS-related functions which are absent on your system.

The only question is how to fit ALGLIB binary into limited resources one usually has on such systems. A full ALGLIB binary needs several megabytes of RAM, and if you compile just linear programming, it is still likely to be more than a megabyte.