As mentionned in a previous post, I mentionned that dnAnalytics was a new project providing a managed wrapper above LAPACK. Those guys have been doing a great job and the current release (trunk 271) is already featuring a lot of the "classic" Matrix Algebra algorithms:

• Dense matrices (float or double) with support for the classic operations, +, *, -,
• Norms: norm-1, norm-2, norm-infty, etc...,
• Condition number,
• QR decomposition,
• LU decomposition,
• SVD decomposition

The library is both accessible as a fully managed version, and a managed wrapper above the native, rock solid, LAPACK library. If you are doing matrix algebra in your application, and you care about robustness, efficiency and accuracy, you should be interrested by this project.