[R] Fast matrix multiplication

[Peter Carbonetto]

Hi Ravi,

Like Ista, I have also had success in using R with OpenBLAS on our Linux
compute cluster.

This will involve installing R from source. If you'd like, I can send you
the configure settings I used, as well as the environment settings used to
control OpenBLAS multithreading. The CRAN site also has some good
documentation of this.

Note that I had issues using the latest version of OpenBLAS (0.3.x) with R
3.5.1. I'm not sure if you would have the same issues as me, but to be safe
I would suggest using OpenBLAS 0.2.x instead.

Peter

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