Linking Intel's Math Kernel Library (MKL) to R on Windows

Question

Using an alternative BLAS for R has several advantages, see e.g. https://cran.r-project.org/web/packages/gcbd/vignettes/gcbd.pdf.

Microsoft R Open https://mran.revol

Answer 1

just tried for R 3.5.1 installation. I installed Microsoft R Open alongside with the CRAN R and copy libiomp5md.dll and overwrite Rblas.dll, Rlapack.dll from MRO MKL counterparts to link to CRAN R on Windows (similar to another answer above but need to copy the file libiomp5md.dll as well). This worked out fine and the CRAN R runs as fast as MRO according to the version.compare package on Github (https://github.com/andrie/version.compare)