Linear algebra is one of those areas where performance can be essential, but also one where native optimizations can make a huge difference. That’s why in Math.NET Numerics we implemented linear algebra on top of a provider abstraction where providers can be exchanged.
Out of the box Math.NET Numerics only includes a fully managed provider which is supported on all platforms, but unfortunately is also rather slow. This doesn’t matter much for most problems, but if you’re working with very large dense matrices it can be a deal breaker. That’s why we’ve added some helper projects you can use to compile your own native provider, but that is still quite involved and requires some experience around C or C++. Not any more, kudos to @marcuscuda!
Since Math.NET Numerics v2.4 we begin to distribute native providers as NuGet packages, starting with one based on Intel MKL. Enabling native algorithms becomes almost as simple as adding a NuGet package to your project.