title: Fast LAPACK/BLAS for matrix multiplication
body: <p>I'm exploring the Armadillo C++ library for linear algebra at the moment. As far as I understood it uses LAPACK/BLAS library for basic matrix operations (e.g. matrix multiplication). As a Windows user I downloaded LAPACK/BLAS from here: <a href="http://icl.cs.utk.edu/lapack-for-windows/lapack/#running">http://icl.cs.utk.edu/lapack-for-windows/lapack/#running</a>. The problem is that matrix multiplications are very slow comparing to Matlab or even R. For example, Matlab multiplies two 1000x1000 matrices in ~0.15 seconds on my computer, R needs ~1 second, while C++/Armadillo/LAPACK/BLAS needs more than 10 seconds for that. </p>
  
  <p>So, Matlab is based on highly optimized libraries for linear algebra. My question is if there exists a faster LAPACK/BLAS brary to use from Armadillo? Alternatively, is there a way to extract Matlab linear algebra libraries somehow and use them in C++?</p>