Microsoft’s Solver Foundation is a numerical optimization library capable of solving problems involving millions of variables and millions of constraints. When I listened Scott Hanselman interview Nathan Brixius from Microsoft’s Solver Foundation team, I expected Brixius to say that Solver Foundation was written in C++ at its core and had a thin C# veneer to make it callable from .NET applications. Instead, he said that Solver Foundation is entirely written in managed code.
Even in heavy-duty numerical code the bottlenecks may not be numerical. The inner loops of the software would execute faster if they were written in C++, but Solver Foundation solves optimization problems about as quickly as other packages written in lower-level languages.