I want to share my experience to use GotoBLAS as an external multithread library of R. I didn’t make through performance test with other libraries (such as ATLAS) but I did got lot of performance gains with GotoBLAS in using R.
1. GotoBLAS from http://www.tacc.utexas.edu/resources/software
Follow instructions in 02QuickInstall.txt.
2. CBLAS from http://www.netlib.org/blas/blast-forum/cblas.tgz
This is not required for using R but you may need this for using GSL(GNU Scientific Library)
a. If the architecture is Linux, type
$ ln –s Make.LINUX Make.in
b. In Make.in, Modify BLLIB, CBDIR and –fPIC –lpthread to LOADER option.
c. Type make all for building libraries and testing
d. After completing, go to lib/LINUX and type
$ ld -melf_x86_64 -shared -soname libgotocblas.so -o libgotocblas.so cblas_LINUX.a
Note. try to use –m64 or –m32 if you are working with powerpc
3. R from http://cran.r-project.org/
Run configure as follows:
$ export GOTOBLAS_LIB=PATH/TO/GOTOBLAS_LIB
$ mkdir build_goto; cd build_goto;
$ ../configure --prefix=$HOME/usr/R/ --with-blas="-L$GOTOBLAS_LIB -lgotoblas -lpthread" --enable-R-shlib --enable-R-static-lib --enable-BLAS-shlib