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