BLAS and LAPACK

Most Linux distributions provide packages for BLAS and LAPACK. For example, on Ubuntu 14.04 LTS, you can run the following:

$ sudo apt-get install libatlas-dev liblapack-dev liblapacke-dev

On macOS, the Accelerate libraries, shipped with XCode, are enough for our purposes.

On Windows, using the MSYS2 environment, these libraries can be installed as follows (assuming the 64-bit version):

$ pacman -S mingw64/mingw-w64-x86_64-openblas

Alternatively, you can download the reference implementation of BLAS and LAPACK from GitHub (https://github.com/Reference-LAPACK/lapack) and compile the libraries from sources. Commercial vendors might offer packages for their own implementations of the BLAS and LAPACK APIs, available as installers for your platform.