[Rd] Out of date instructions to build R using MKL

[Elliott Forney]

Yes, these instructions are no longer valid as there has been some
reorganization of the mkl libraries.  The path
/opt/intel/mkl/10.0.3.020/lib/em64t/ is now
/opt/intel/mkl/lib/intel64.  Also, the only libraries that need to be
included are:

-lmkl_gf_lp64 -lmkl_gnu_thread -lmkl_core

The trick to getting rid of the "double complex BLAS" error is to use
only the gnu compatible libraries (i.e. use mkl_gnu_thread instead of
iomp5).  I believe the intel-only libraries use a different convention
to pass complex numbers between libraries built with fortran?
Thankfully this check detects the error instead of crashing at run
time.

I used the following to build R-2.14.1 with MKL:

export LD_LIBRARY_PATH=/opt/intel/mkl/lib/intel64
./configure --prefix=/opt/R-2.14.1 --enable-threads=posix
--with-lapack --with-blas="-I/opt/intel/mkl/include
-L/opt/intel/mkl/lib/intel64 -lmkl_gf_lp64
-lmkl_gnu_thread -lmkl_core -fopenmp -lpthread -lm"

Although a highly tuned BLAS may not help much for many applications,
I have seen several orders of magnitude performance improvement in
some of my work that uses matrix operations heavily and others in my
lab have experienced the same.  Having R linked against MKL has been
HUGELY important for me personally.

A custom tuned ATLAS works well too but I find it frustrating that it
needs to be re-tuned for each architecture I use (I tend to distribute
jobs in a heterogeneous environment).

Thanks!
  Elliott Forney

On Fri, Feb 10, 2012 at 8:15 AM, Milan Bouchet-Valat <nalimilan at club.fr> wrote:
> Hi!
>
> I've been playing with MKL for a few days and I noticed the instructions
> in the R Installation Administration manual [1] no longer apply. It
> seems that since version 10.0 (the one used by the manual),
> libmkl_lapack.so has been renamed/split (although the official
> explanations seem to imply this was already the case in 10.0 [2]).
>
> As a consequence, the instructions for dynamic linking no longer work
> with the last version (2011-sp1). This is also the case of what is
> explained on several sites like [3] or [4]. The manual's instructions to
> link statically to MKL still work fine, though.
>
> I'm merely signaling this fact to more clued people, since I've not been
> able to get R to dynamically link to MKL. I'm always getting this notice
> during ./configure:
>> checking whether double complex BLAS can be used... no
>
> Anyways, one of the problems is also that it's no longer possible to
> make libRblas.so and libRlapack.so symlinks to the Intel libs, as they
> are split into several files.
>
> If nobody knows how or cares about to fix this ATM, a simple warning
> that the instructions are outdated would already improve the situation,
> as it took me some time to understand things had changed and I wasn't
> just being silly. ;-)
>
> (That said, I'm not convinced using an external BLAS/LAPACK is really
> interesting for standard desktops. Performances gains compared to
> default packages are incredible in benchmarks, but for real use cases
> multi-threading often makes things slower - at least for me, using gnm.
> I guess this is mostly interesting for very larges matrices, and not for
> many repeated small operations.)
>
> Regards
>
>
> 1: http://cran.r-project.org/doc/manuals/R-admin.html#MKL
> 2: http://software.intel.com/en-us/forums/showthread.php?t=81302
> 3:
> http://www.r-bloggers.com/compiling-64-bit-r-2-10-1-with-mkl-in-linux/
> 4: http://www.rd.dnc.ac.jp/~otsu/lecture/RwithMKL.html
>
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