The Intel Math Kernel Library (MKL) contains highly optimized and extensively threaded routines for engineering and scientific applications.
It includes linear algebra routines (BLAS, LAPACK, ScaLAPACK, and sparse solvers), FFTs, a vector math library, vector random number generators, and LINPACK benchmark routines.
Choosing which libraries to link to
For help in determining which libraries to link, to see the MKL Library Link Advisor provided by Intel.
Threaded MKL routines
Note that threaded MKL routines are based on OpenMP. Treat these routines as OpenMP parallel regions. Be sure that your thread count does not exceed the number of cores allocated to your job.