There are several program which you can download from internet. They are certainly good for some problems but not for all of them. It depends on what kind of problem you are cracking with. For normal problem Powell's hybrid algorithm is very efficient and applicable. It's can be download from <a href="http://www.netlib.org" target="_blank" >www.netlib.org</A> in minpack directory. Or you are c programmer,refer to numerical recpide in C. Or downalod gnu gsl source and then study it(very very long).<BR>Sometimes the problem is not so easy and won't let you go. You may face with singular jacobi matrix etc. Then Tensor method can then be used. It can also download from <a href="http://www.netlib.org" target="_blank" >www.netlib.org</A> or go to ACM trans to download source as well as article. <BR>The bad news you have to refer to some least square program to solve you problem. For physical domain, it's okay sometimes...But ...