Lately I've been doing a lot of linear algebra-heavy stuff and I found my trusty CRAN R struggling, so I looked for some ways to get a better performance. However, to get that under Windows doesn't seem so easy. Since I have an Intel machine, I thought of compiling R against the Intel MKL Math library instead than the standard BLAS. I found this: relatively simple, but the reference to Red Hat Linux at the end of the page raises a suspicion. And rightly so, because if you look up the MKL entry in the R admin manual, you see that apparently compiling R against MKL doesn't work in Windows. There are similar problems if one tries to use ATLAS under Windows. Thus, much to my regret, I decided to abandon CRAN R and to switch to Microsoft R Open. It's very simple to install MKL for this distribution of R, and it works great. Thus I wonder: are there are other R distributions or implementations under Windows, which are consistently faster than CRAN R for linear algebra computations? Are they in common use? Do you use any of them?
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