GNU C++ compiler and Intel MKL (FYI)

The Intel MKL is free to use and download. Installed it into my home folder.
Intel provides linking recommendations for using with GNU C++.

To make it work I added the following into the file make/local of CMDSTAN.

MKLROOT = /home/andre/intel/mkl
LDLIBS += -Wl,--start-group ${MKLROOT}/lib/intel64/libmkl_intel_lp64.a ${MKLROOT}/lib/intel64/libmkl_sequential.a ${MKLROOT}/lib/intel64/libmkl_core.a -Wl,--end-group -lpthread -lm -ldl

If somebody likes to do the same. This worked on my system.

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Nice! Dirk Eddelbuettel also has a nice blog post showing how to add the Intel MKL via apt


If ones install MKL globally, then I’d probably go for dynamic linking. One has to choose slightly different options. The good thing is, Intel developed a linking advisor, which does the most work.
If I not totally wrong there is also a TBB version of MKL. I noticed a speedup of around 15% on my old Sandybridge system.

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Do you have any benchmarks for whether this notably improves Stan performance?

And is this possible to use with rstan?

That depends about how vectorized your models are, the CPU architecture, whether you choose MKL single threaded or the MKL/TBB version. On the other hand, we get GPU into Stan soon and this is mostly focused
on what MKL/TBB covers.
If you have a matrix multiplication and a Poisson likelihood, then the benefits are good. If you change that through a Bessel/not covered for-loop based likelihood, the time you model spend is mostly spent in this. Then the benefits are relatively small.
I don’t have CPU capacity left to make intensively tests.