Compiling R with multi-threaded linear algebra libraries on Ubuntu
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Motivation
You may have an R setup that is not using hardware resources in an efficient way.
Linear algebra libraries such as OpenBLAS and Intel MKL can compute matrix/vector operations with all available processing power to significantly reduce computation times.
Use apt-get instead of compiling sources
If you prefer to use apt-get there is an option. Intel MKL is hardware specific while OpenBLAS boosts operations both for Intel and AMD
To install R linked to Intel MKL, Dirk Eddelbuettel’s blog provides detailed instructions.
To install R linked to OpenBLAS you only need this:
sudo apt-get update sudo apt-get install libopenblas-base r-base
Compiling sources
I’ll stick to R 3.4.2 that is what I use at work.
R linked to MKL
You need to install MKL first. You can either use apt-get or download the installer. I have downloaded the installer.
Install MKL
Compile R
R linked to OpenBLAS
Compile R
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