stkpp
C++ Statistical ToolKit
...Some functionalities provided by the library are available in the R environment as R functions (http://cran.at.r-project.org/web/packages/rtkore/index.html). At a convenience, we propose the source packages on sourceforge.
The library offers a dense set of (mostly) template classes in C++ and is suitable for projects ranging from small one-off projects to complete data mining application suites.