GLPK/Cross Compilation

Windows target

If your GLPK-based application program is written in C or C++, compiled using GNU GCC on Linux, and statically linked to GLPK, then you can cross-compile to Windows. See the GCC documentation for details.

MMIX target

GLPK itself may be cross-compiled to MMIX, a 64-bit RISC computer architecture designed by computer scientist Donald Knuth. Some instructions are contained in the file Makefile_MMIX, included in the GLPK distribution from version 4.37. The host machine will need to provide GNU GCC, normally available by default on Linux and BSD.

Virtualization

While virtualization is not cross-compilation, it may well achieve the objectives you are seeking with cross-compilation or with multi-platform development.