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Please, give me some tips for a HIGH PERFORMANCE C library for linear algebra (matrix algebra, eigenvalues, eigenvectors etc.). Can be both open-source or closed-source.
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linalg is a library for linear algebra and regression implemented in C. The code is optimized for readability and clarity instead of raw efficiency (though it tries not to ignore issues of efficiency completely).
Eigen is a C++ template library for linear algebra: matrices, vectors, numerical solvers, and related algorithms.
To use Armadillo in your Visual C++ project, add $(ARMADILLO_ROOT)/include as an Include directory. Since Armadillo source code uses LAPACK and BLAS, your project needs to link with these libraries. Armadillo ships with pre-built 32-bit .
EDIT Thanks to comments from osgx:
I know both LAPACK and GSL and I can recommend both of them. LAPACK is very low-level library and GSL may be more comfortable to use, but speaking of good performance -- BLAS-based library it is.
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ATLAS, maybe?
Edit: if you're open to C++, you should definitely check Eigen, it's a very neat library, and pretty fast too, according to the benchmarks.
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