Hi,
using g++ under gcc c. So I assume that is gcc c's c++ compiler
Yes indeed.
The results are 1.4meg and 1.7meg result files.
So, tiny by modern standards

.
So first I added the 3 or so example headers sugjested and that didn't work then I added all the .cpp files till it worked.
Should I add the .h files instead to make the lda subpackage to work and compile smaller.
Unless I'm failing to understand your post correctly, these are C/C++ questions, and not to do with CodeLite itself. But generally, you need to supply all the necessary code for ALGLIB to compile. It matters little (I expect it doesn't matter at all, but I'm not an expert) whether you put that code in cpp or h files: it will still build to much the same size.
Regards,
David