Intel Math Kernel Library

Intel Math Kernel Library (Intel MKL) is a library of highly optimized, extensively threaded math routines for science, engineering, and financial applications that require maximum performance. Core math functions include BLAS, LAPACK, ScaLAPACK, Sparse Solvers, Fast Fourier Transforms, Vector Math, and more. Offering performance optimizations for current and next-generation Intel® processors, it includes improved integration with Microsoft Visual Studio*, Eclipse*, and XCode*. Intel MKL allows for full integration of the Intel Compatibility OpenMP* run-time library for greater Windows*/Linux* cross-platform compatibility.

Source software.intel.com

To read the manual here