How to convert System::array to std::vector?

Another approach, letting the .NET BCL do the work instead of the C++ standard library:

#include <vector>

void SetLowerBoundsWrapper(array<double>^ lb)
{
    using System::IntPtr;
    using System::Runtime::InteropServices::Marshal;

    std::vector<double> lower(lb->Length);
    Marshal::Copy(lb, 0, IntPtr(&lower[0]), lb->Length);
    _opt->set_lower_bounds(lower);
}

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The following both compile for me with VC++ 2010 SP1, and are exactly equivalent:

#include <algorithm>
#include <vector>

void SetLowerBoundsWrapper(array<double>^ lb)
{
    std::vector<double> lower(lb->Length);
    {
        pin_ptr<double> pin(&lb[0]);
        double *first(pin), *last(pin + lb->Length);
        std::copy(first, last, lower.begin());
    }
    _opt->set_lower_bounds(lower);
}

void SetLowerBoundsWrapper2(array<double>^ lb)
{
    std::vector<double> lower(lb->Length);
    {
        pin_ptr<double> pin(&lb[0]);
        std::copy(
            static_cast<double*>(pin),
            static_cast<double*>(pin + lb->Length),
            lower.begin()
        );
    }
    _opt->set_lower_bounds(lower);
}

The artificial scope is to allow the pin_ptr to unpin the memory as early as possible, so as not to hinder the GC.