Linear constraint databases (LCDBs) extend relational databases to include linear arithmetic constraints in both relations and queries. A LCDB can also be viewed as a powerful extension of linear programming (LP) where the system of constraints is generalized to a database containing constraints and the objective function is generalized to a relational query containing constraints. Our major concern is query optimization in LCDBs. Traditional database approaches are not adequate for combination with LP technology. Instead, we propose a new query optimization approach, based on statistical estimations and iterated trials of potentially better evaluation plans. The resulting algorithms are not only effective on LCDBs, but also applicable to existing query languages. A number of specific constraint algebra algorithms are also developed: select-project-join for two relations, constraint sort-join and constraint multi-join.