Initial version of OpenBLAS wrapper project based off the MKL wrapper. It compiles, but may not work.

MathNet.Numerics.NativeProviders.sln

@@ -20,6 +20,8 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Numerics", "src\Numerics\Nu
 EndProject
 Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "UnitTests-MKL", "src\UnitTests\UnitTests-MKL.csproj", "{3515A344-AB5F-41C7-A14C-04A79B3FFAB1}"
 EndProject
+Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "OpenBLAS", "src\NativeProviders\Windows\OpenBLAS\OpenBLASWrapper.vcxproj", "{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -111,6 +113,27 @@ Global
 		{3515A344-AB5F-41C7-A14C-04A79B3FFAB1}.Release-Signed|Mixed Platforms.Build.0 = Release|Any CPU
 		{3515A344-AB5F-41C7-A14C-04A79B3FFAB1}.Release-Signed|Win32.ActiveCfg = Release|Any CPU
 		{3515A344-AB5F-41C7-A14C-04A79B3FFAB1}.Release-Signed|x64.ActiveCfg = Release|Any CPU
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|Any CPU.ActiveCfg = Debug|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|Mixed Platforms.ActiveCfg = Debug|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|Mixed Platforms.Build.0 = Debug|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|Win32.ActiveCfg = Debug|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|Win32.Build.0 = Debug|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|x64.ActiveCfg = Debug|x64
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Debug|x64.Build.0 = Debug|x64
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|Any CPU.ActiveCfg = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|Mixed Platforms.ActiveCfg = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|Mixed Platforms.Build.0 = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|Win32.ActiveCfg = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|Win32.Build.0 = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|x64.ActiveCfg = Release|x64
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release|x64.Build.0 = Release|x64
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|Any CPU.ActiveCfg = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|Mixed Platforms.ActiveCfg = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|Mixed Platforms.Build.0 = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|Win32.ActiveCfg = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|Win32.Build.0 = Release|Win32
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|x64.ActiveCfg = Release|x64
+		{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}.Release-Signed|x64.Build.0 = Release|x64
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE

src/NativeProviders/OpenBLAS/blas.c

@@ -0,0 +1,89 @@
+#include "cblas.h"
+#include "wrapper_common.h"
+
+#if GCC 
+extern "C" { 
+#endif
+DLLEXPORT void s_axpy(const blasint n, const float alpha, const float x[], float y[]){
+	cblas_saxpy(n, alpha, x, 1, y, 1);
+}
+
+DLLEXPORT void d_axpy(const blasint n, const double alpha, const double x[], double y[]){
+	cblas_daxpy(n, alpha, x, 1, y, 1);
+}
+
+DLLEXPORT void c_axpy(const blasint n, const openblas_complex_float alpha, const openblas_complex_float x[], openblas_complex_float y[]){
+	cblas_caxpy(n, &(alpha.real), &(x->real), 1, &(y->real), 1);
+}
+
+DLLEXPORT void z_axpy(const blasint n, const openblas_complex_double alpha, const openblas_complex_double x[], openblas_complex_double y[]){
+	cblas_zaxpy(n, &(alpha.real), &(x->real), 1, &(y->real), 1);
+}
+
+DLLEXPORT void s_scale(const blasint n, const float alpha, float x[]){
+	cblas_sscal(n, alpha, x, 1);
+}
+
+DLLEXPORT void d_scale(const blasint n, const double alpha, double x[]){
+	cblas_dscal(n, alpha, x, 1);
+}
+
+DLLEXPORT void c_scale(const blasint n, const openblas_complex_float alpha, openblas_complex_float x[]){
+	cblas_cscal(n, &(alpha.real), &(x->real), 1);
+}
+
+DLLEXPORT void z_scale(const blasint n, const openblas_complex_double alpha, openblas_complex_double x[]){
+	cblas_zscal(n, &(alpha.real), &(x->real), 1);
+}
+
+DLLEXPORT float s_dot_product(const blasint n, const float x[], const float y[]){
+	return cblas_sdot(n, x, 1, y, 1);
+}
+
+DLLEXPORT double d_dot_product(const blasint n, const double x[], const double y[]){
+	return cblas_ddot(n, x, 1, y, 1);
+}
+
+DLLEXPORT openblas_complex_float c_dot_product(const blasint n, const openblas_complex_float x[], const openblas_complex_float y[]){
+	openblas_complex_float ret;
+	cblas_cdotu_sub(n, &(x->real), 1, &(y->real), 1, &ret);
+	return ret;
+}
+
+DLLEXPORT openblas_complex_double z_dot_product(const blasint n, const openblas_complex_double x[], const openblas_complex_double y[]){
+	openblas_complex_double ret;
+	cblas_zdotu_sub(n, &(x->real), 1, &(y->real), 1, &ret);
+	return ret;
+}
+
+DLLEXPORT void s_matrix_multiply(CBLAS_TRANSPOSE transA, CBLAS_TRANSPOSE transB, const blasint m, const blasint n, const blasint k, const float alpha, const float x[], const float y[], const float beta, float c[]){
+	blasint lda = transA == CblasNoTrans ? m : k;
+	blasint ldb = transB == CblasNoTrans ? k : n;
+
+	cblas_sgemm(CblasColMajor, transA, transB, m, n, k, alpha, x, lda, y, ldb, beta, c, m);
+}
+
+DLLEXPORT void d_matrix_multiply(CBLAS_TRANSPOSE transA, CBLAS_TRANSPOSE transB, const blasint m, const blasint n, const blasint k, const double alpha, const double x[], const double y[], const double beta, double c[]){
+	blasint lda = transA == CblasNoTrans ? m : k;
+	blasint ldb = transB == CblasNoTrans ? k : n;
+
+	cblas_dgemm(CblasColMajor, transA, transB, m, n, k, alpha, x, lda, y, ldb, beta, c, m);
+}
+
+DLLEXPORT void c_matrix_multiply(CBLAS_TRANSPOSE transA, CBLAS_TRANSPOSE transB, const blasint m, const blasint n, const blasint k, const openblas_complex_float alpha, const openblas_complex_float x[], const openblas_complex_float y[], const openblas_complex_float beta, openblas_complex_float c[]){
+	blasint lda = transA == CblasNoTrans ? m : k;
+	blasint ldb = transB == CblasNoTrans ? k : n;
+
+	cblas_cgemm(CblasColMajor, transA, transB, m, n, k, &(alpha.real), &(x->real), lda, &(y->real), ldb, &(beta.real), &(c->real), m);
+}
+
+DLLEXPORT void z_matrix_multiply(CBLAS_TRANSPOSE transA, CBLAS_TRANSPOSE transB, const blasint m, const blasint n, const blasint k, const openblas_complex_double alpha, const openblas_complex_double x[], const openblas_complex_double y[], const openblas_complex_double beta, openblas_complex_double c[]){
+	blasint lda = transA == CblasNoTrans ? m : k;
+	blasint ldb = transB == CblasNoTrans ? k : n;
+
+	cblas_zgemm(CblasColMajor, transA, transB, m, n, k, &(alpha.real), &(x->real), lda, &(y->real), ldb, &(beta.real), &(c->real), m);
+}
+
+#if GCC 
+} 
+#endif

src/NativeProviders/OpenBLAS/lapack.cpp

@@ -0,0 +1,752 @@
+#include "cblas.h"
+
+#define LAPACK_COMPLEX_CUSTOM
+
+template <typename T>
+struct complex
+{
+	T real, imag;
+
+	complex(T _real = 0, T _imag = 0)
+	{
+		real = _real;
+		imag = _imag;
+	}
+
+	complex(const complex<T>& right)
+	{
+		real = right.real;
+		imag = right.imag;
+	}
+	
+	complex& operator=(const complex& right)
+	{
+		real = right.real;
+		imag = right.imag;
+		return *this;
+	}
+
+	complex& operator=(const T& right)
+	{
+		real = right;
+		imag = 0;
+		return *this;
+	}
+
+	template<typename _Other> inline
+	complex& operator=(const complex<_Other>& right)
+	{
+		real = (T)right.real;
+		imag = (T)right.imag;
+		return *this;
+	}
+};
+
+#define lapack_complex_float complex<float>
+#define lapack_complex_double complex<double>
+
+#include "lapacke.h"
+#include "lapack_common.h"
+#include "wrapper_common.h"
+#include <algorithm>
+
+template<typename T, typename GETRF>
+inline lapack_int lu_factor(lapack_int m, T a[], lapack_int ipiv[], GETRF getrf)
+{
+    lapack_int info = 0;
+    getrf(&m, &m, a, &m, ipiv, &info);
+    shift_ipiv_down(m, ipiv);
+    return info;
+};
+
+template<typename T, typename GETRF, typename GETRI>
+inline lapack_int lu_inverse(lapack_int n, T a[], T work[], lapack_int lwork, GETRF getrf, GETRI getri)
+{
+    lapack_int* ipiv = new lapack_int[n];
+    lapack_int info = 0;
+    getrf(&n, &n, a, &n, ipiv, &info);
+
+    if (info != 0)
+    {
+        delete[] ipiv;
+        return info;
+    }
+
+    getri(&n, a, &n, ipiv, work, &lwork, &info);
+    delete[] ipiv;
+    return info;
+};
+
+template<typename T, typename GETRI>
+inline lapack_int lu_inverse_factored(lapack_int n, T a[], lapack_int ipiv[], T work[], lapack_int lwork, GETRI getri)
+{
+    shift_ipiv_up(n, ipiv);
+    lapack_int info = 0;
+    getri(&n, a, &n, ipiv, work, &lwork, &info);
+    shift_ipiv_down(n, ipiv);
+    return info;
+}
+
+template<typename T, typename GETRS>
+inline lapack_int lu_solve_factored(lapack_int n, lapack_int nrhs, T a[], lapack_int ipiv[], T b[], GETRS getrs)
+{
+    shift_ipiv_up(n, ipiv);
+    lapack_int info = 0;
+    char trans ='N';
+    getrs(&trans, &n, &nrhs, a, &n, ipiv, b, &n, &info);
+    shift_ipiv_down(n, ipiv);
+    return info;
+}
+
+template<typename T, typename GETRF, typename GETRS>
+inline lapack_int lu_solve(lapack_int n, lapack_int nrhs, T a[], T b[], GETRF getrf, GETRS getrs)
+{
+    T* clone = Clone(n, n, a);
+    lapack_int* ipiv = new lapack_int[n];
+    lapack_int info = 0;
+    getrf(&n, &n, clone, &n, ipiv, &info);
+
+    if (info != 0)
+    {
+        delete[] ipiv;
+        delete[] clone;
+        return info;
+    }
+
+    char trans ='N';
+    getrs(&trans, &n, &nrhs, clone, &n, ipiv, b, &n, &info);
+    delete[] ipiv;
+    delete[] clone;
+    return info;
+}
+
+
+template<typename T, typename POTRF>
+inline lapack_int cholesky_factor(lapack_int n, T* a, POTRF potrf)
+{
+    char uplo = 'L';
+    lapack_int info = 0;
+    potrf(&uplo, &n, a, &n, &info);
+    T zero = T();
+
+    for (lapack_int i = 0; i < n; ++i)
+    {
+        lapack_int index = i * n;
+
+        for (lapack_int j = 0; j < n && i > j; ++j)
+        {
+            a[index + j] = zero;
+        }
+    }
+
+    return info;
+}
+
+template<typename T, typename POTRF, typename POTRS>
+inline lapack_int cholesky_solve(lapack_int n, lapack_int nrhs, T a[], T b[], POTRF potrf, POTRS potrs)
+{
+    T* clone = Clone(n, n, a);
+    char uplo = 'L';
+    lapack_int info = 0;
+    potrf(&uplo, &n, clone, &n, &info);
+
+    if (info != 0)
+    {
+        delete[] clone;
+        return info;
+    }
+
+    potrs(&uplo, &n, &nrhs, clone, &n, b, &n, &info);
+    delete[] clone;
+    return info;
+}
+
+template<typename T, typename POTRS>
+inline lapack_int cholesky_solve_factored(lapack_int n, lapack_int nrhs, T a[], T b[], POTRS potrs)
+{
+    char uplo = 'L';
+    lapack_int info = 0;
+    potrs(&uplo, &n, &nrhs, a, &n, b, &n, &info);
+    return info;
+}
+
+template<typename T, typename GEQRF, typename ORGQR>
+inline lapack_int qr_factor(lapack_int m, lapack_int n, T r[], T tau[], T q[], T work[], lapack_int len, GEQRF geqrf, ORGQR orgqr)
+{
+    lapack_int info = 0;
+    geqrf(&m, &n, r, &m, tau, work, &len, &info);
+
+    for (lapack_int i = 0; i < m; ++i)
+    {
+        for (lapack_int j = 0; j < m && j < n; ++j)
+        {
+            if (i > j)
+            {
+                q[j * m + i] = r[j * m + i];
+            }
+        }
+    }
+
+    //compute the q elements explicitly
+    if (m <= n)
+    {
+        orgqr(&m, &m, &m, q, &m, tau, work, &len, &info);
+    }
+    else
+    {
+        orgqr(&m, &m, &n, q, &m, tau, work, &len, &info);
+    }
+
+    return info;
+}
+
+template<typename T, typename GEQRF, typename ORGQR>
+inline lapack_int qr_thin_factor(lapack_int m, lapack_int n, T q[], T tau[], T r[], T work[], lapack_int len, GEQRF geqrf, ORGQR orgqr)
+{
+    lapack_int info = 0;
+    geqrf(&m, &n, q, &m, tau, work, &len, &info);
+
+    for (lapack_int i = 0; i < n; ++i)
+    {
+        for (lapack_int j = 0; j < n; ++j)
+        {
+            if (i <= j)
+            {
+                r[j * n + i] = q[j * m + i];
+            }
+        }
+    }
+
+    orgqr(&m, &n, &n, q, &m, tau, work, &len, &info);
+    return info;
+}
+
+template<typename T, typename GELS>
+inline lapack_int qr_solve(lapack_int m, lapack_int n, lapack_int bn, T a[], T b[], T x[], T work[], lapack_int len, GELS gels)
+{
+    T* clone_a = Clone(m, n, a);
+    T* clone_b = Clone(m, bn, b);
+    char N = 'N';
+    lapack_int info = 0;
+    gels(&N, &m, &n, &bn, clone_a, &m, clone_b, &m, work, &len, &info);
+    copyBtoX(m, n, bn, clone_b, x);
+    delete[] clone_a;
+    delete[] clone_b;
+    return info;
+}
+
+template<typename T, typename ORMQR, typename TRSM>
+inline lapack_int qr_solve_factored(lapack_int m, lapack_int n, lapack_int bn, T r[], T b[], T tau[], T x[], T work[], lapack_int len, ORMQR ormqr, TRSM trsm)
+{
+    T* clone_b = Clone(m, bn, b);
+    char side ='L';
+    char tran = 'T';
+    lapack_int info = 0;
+    ormqr(&side, &tran, &m, &bn, &n, r, &m, tau, clone_b, &m, work, &len, &info);
+    trsm(CblasColMajor, CblasLeft, CblasUpper, CblasNoTrans, CblasNonUnit, n, bn, 1.0, r, m, clone_b, m);
+    copyBtoX(m, n, bn, clone_b, x);
+    delete[] clone_b;
+    return info;
+}
+
+template<typename T, typename UNMQR, typename TRSM>
+inline lapack_int complex_qr_solve_factored(lapack_int m, lapack_int n, lapack_int bn, T r[], T b[], T tau[], T x[], T work[], lapack_int len, UNMQR unmqr, TRSM trsm)
+{
+    T* clone_b = Clone(m, bn, b);
+    char side ='L';
+    char tran = 'C';
+    lapack_int info = 0;
+    unmqr(&side, &tran, &m, &bn, &n, r, &m, tau, clone_b, &m, work, &len, &info);
+    T one = { 1.0f, 0.0f };
+	trsm(CblasColMajor, CblasLeft, CblasUpper, CblasNoTrans, CblasNonUnit, n, bn, &(one.real), &(r->real), m, &(clone_b->real), m);
+    copyBtoX(m, n, bn, clone_b, x);
+    delete[] clone_b;
+    return info;
+}
+
+template<typename T, typename GESVD>
+inline lapack_int svd_factor(bool compute_vectors, lapack_int m, lapack_int n, T a[], T s[], T u[], T v[], T work[], lapack_int len, GESVD gesvd)
+{
+    lapack_int info = 0;
+    char job = compute_vectors ? 'A' : 'N';
+    gesvd(&job, &job, &m, &n, a, &m, s, u, &m, v, &n, work, &len, &info);
+    return info;
+}
+
+template<typename T, typename R, typename GESVD>
+inline lapack_int complex_svd_factor(bool compute_vectors, lapack_int m, lapack_int n, T a[], T s[], T u[], T v[], T work[], lapack_int len, GESVD gesvd)
+{
+    lapack_int info = 0;
+    lapack_int dim_s = std::min(m,n);
+    R* rwork = new R[5 * dim_s];
+    R* s_local = new R[dim_s];
+    char job = compute_vectors ? 'A' : 'N';
+    gesvd(&job, &job, &m, &n, a, &m, s_local, u, &m, v, &n, work, &len, rwork, &info);
+
+    for (lapack_int index = 0; index < dim_s; ++index)
+    {
+        s[index] = s_local[index];
+    }
+
+    delete[] rwork;
+    delete[] s_local;
+    return info;
+}
+
+template<typename T, typename R, typename GEES, typename TREVC>
+inline lapack_int eigen_factor(lapack_int n, T a[], T vectors[], R values[], T d[], GEES gees, TREVC trevc)
+{
+    T* clone_a = Clone(n, n, a);
+    T* wr = new T[n];
+    T* wi = new T[n];
+
+    lapack_int sdim;
+    lapack_int info = gees(LAPACK_COL_MAJOR, 'V', 'N', nullptr, n, clone_a, n, &sdim, wr, wi, vectors, n);
+    if (info != 0)
+    {
+        delete[] clone_a;
+        delete[] wr;
+        delete[] wi;
+        return info;
+    }
+
+    lapack_int m;
+    info = trevc(LAPACK_COL_MAJOR, 'R', 'B', nullptr, n, clone_a, n, nullptr, n, vectors, n, n, &m);
+    if (info != 0)
+    {
+        delete[] clone_a;
+        delete[] wr;
+        delete[] wi;
+        return info;
+    }
+
+    for (lapack_int index = 0; index < n; ++index)
+    {
+        values[index] = R(wr[index], wi[index]);
+    }
+
+    for (lapack_int  i = 0; i < n; ++i)
+    {
+        lapack_int in = i * n;
+        d[in + i] = wr[i];
+
+        if (wi[i] > 0)
+        {
+            d[in + n + i] = wi[i];
+        }
+        else if (wi[i] < 0)
+        {
+            d[in - n + i] = wi[i];
+        }
+    }
+
+    delete[] clone_a;
+    delete[] wr;
+    delete[] wi;
+    return info;
+}
+
+template<typename T, typename GEES, typename TREVC>
+inline lapack_int eigen_complex_factor(lapack_int n, T a[], T vectors[], lapack_complex_double values[], T d[], GEES gees, TREVC trevc)
+{
+    T* clone_a = Clone(n, n, a);
+    T* w = new T[n];
+
+    lapack_int sdim;
+    lapack_int info = gees(LAPACK_COL_MAJOR, 'V', 'N', nullptr, n, clone_a, n, &sdim, w, vectors, n);
+    if (info != 0)
+    {
+        delete[] clone_a;
+        delete[] w;
+        return info;
+    }
+
+    lapack_int m;
+    info = trevc(LAPACK_COL_MAJOR, 'R', 'B', nullptr, n, clone_a, n, nullptr, n, vectors, n, n, &m);
+    if (info != 0)
+    {
+        delete[] clone_a;
+        delete[] w;
+        return info;
+    }
+
+    for (lapack_int i = 0; i < n; ++i)
+    {
+        values[i] = w[i];
+        d[i * n + i] = w[i];
+    }
+
+    delete[] clone_a;
+    delete[] w;
+    return info;
+}
+
+template<typename R, typename T, typename SYEV>
+inline lapack_int sym_eigen_factor(lapack_int n, T a[], T vectors[], lapack_complex_double values[], T d[], SYEV syev)
+{
+    T* clone_a = Clone(n, n, a);
+    R* w = new R[n];
+
+    lapack_int info = syev(LAPACK_COL_MAJOR, 'V', 'U', n, clone_a, n, w);
+    if (info != 0)
+    {
+        delete[] clone_a;
+        delete[] w;
+        return info;
+    }
+    
+    memcpy(vectors, clone_a, n*n*sizeof(T));
+
+    for (lapack_int index = 0; index < n; ++index)
+    {
+        values[index] = lapack_complex_double(w[index]);
+    }
+    
+    for (lapack_int j = 0; j < n; ++j)
+    {
+        lapack_int jn = j*n;
+
+        for (lapack_int i = 0; i < n; ++i)
+        {
+            if (i == j)
+            {
+                d[jn + i] = w[i];
+            }
+        }
+    }
+
+    delete[] clone_a;
+    delete[] w;
+    return info;
+}
+
+extern "C" {
+
+    DLLEXPORT float s_matrix_norm(char norm, lapack_int m, lapack_int n, float a[], float work[])
+    {
+        return LAPACKE_slange_work(CblasColMajor, norm, m, n, a, m, work);
+    }
+
+    DLLEXPORT double d_matrix_norm(char norm, lapack_int m, lapack_int n, double a[], double work[])
+    {
+        return LAPACKE_dlange_work(CblasColMajor, norm, m, n, a, m, work);
+    }
+
+    DLLEXPORT float c_matrix_norm(char norm, lapack_int m, lapack_int n, lapack_complex_float a[], float work[])
+    {
+        return LAPACKE_clange_work(CblasColMajor, norm, m, n, a, m, work);
+    }
+
+    DLLEXPORT double z_matrix_norm(char norm, lapack_int m, lapack_int n, lapack_complex_double a[], double work[])
+    {
+        return LAPACKE_zlange_work(CblasColMajor, norm, m, n, a, m, work);
+    }
+
+    DLLEXPORT lapack_int s_lu_factor(lapack_int m, float a[], lapack_int ipiv[])
+    {
+        return lu_factor(m, a, ipiv, LAPACK_sgetrf);
+    }
+
+    DLLEXPORT lapack_int d_lu_factor(lapack_int m, double a[], lapack_int ipiv[])
+    {
+        return lu_factor(m, a, ipiv, LAPACK_dgetrf);
+    }
+
+    DLLEXPORT lapack_int c_lu_factor(lapack_int m, lapack_complex_float a[], lapack_int ipiv[])
+    {
+        return lu_factor(m, a, ipiv, LAPACK_cgetrf);
+    }
+
+    DLLEXPORT lapack_int z_lu_factor(lapack_int m, lapack_complex_double a[], lapack_int ipiv[])
+    {
+        return lu_factor(m, a, ipiv, LAPACK_zgetrf);
+    }
+
+    DLLEXPORT lapack_int s_lu_inverse(lapack_int n, float a[], float work[], lapack_int lwork)
+    {
+        return lu_inverse(n, a, work, lwork, LAPACK_sgetrf, LAPACK_sgetri);
+    }
+
+    DLLEXPORT lapack_int d_lu_inverse(lapack_int n, double a[], double work[], lapack_int lwork)
+    {
+        return lu_inverse(n, a, work, lwork, LAPACK_dgetrf, LAPACK_dgetri);
+    }
+
+    DLLEXPORT lapack_int c_lu_inverse(lapack_int n, lapack_complex_float a[], lapack_complex_float work[], lapack_int lwork)
+    {
+        return lu_inverse(n, a, work, lwork, LAPACK_cgetrf, LAPACK_cgetri);
+    }
+
+    DLLEXPORT lapack_int z_lu_inverse(lapack_int n, lapack_complex_double a[], lapack_complex_double work[], lapack_int lwork)
+    {
+        return lu_inverse(n, a, work, lwork, LAPACK_zgetrf, LAPACK_zgetri);
+    }
+
+    DLLEXPORT lapack_int s_lu_inverse_factored(lapack_int n, float a[], lapack_int ipiv[], float work[], lapack_int lwork)
+    {
+        return lu_inverse_factored(n, a, ipiv, work, lwork, LAPACK_sgetri);
+    }
+
+    DLLEXPORT lapack_int d_lu_inverse_factored(lapack_int n, double a[], lapack_int ipiv[], double work[], lapack_int lwork)
+    {
+        return lu_inverse_factored(n, a, ipiv, work, lwork, LAPACK_dgetri);
+    }
+
+    DLLEXPORT lapack_int c_lu_inverse_factored(lapack_int n, lapack_complex_float a[], lapack_int ipiv[], lapack_complex_float work[], lapack_int lwork)
+    {
+        return lu_inverse_factored(n, a, ipiv, work, lwork, LAPACK_cgetri);
+    }
+
+    DLLEXPORT lapack_int z_lu_inverse_factored(lapack_int n, lapack_complex_double a[], lapack_int ipiv[], lapack_complex_double work[], lapack_int lwork)
+    {
+        return lu_inverse_factored(n, a, ipiv, work, lwork, LAPACK_zgetri);
+    }
+
+    DLLEXPORT lapack_int s_lu_solve_factored(lapack_int n, lapack_int nrhs, float a[], lapack_int ipiv[], float b[])
+    {
+        return lu_solve_factored(n, nrhs, a, ipiv, b, LAPACK_sgetrs);
+    }
+
+    DLLEXPORT lapack_int  d_lu_solve_factored(lapack_int n, lapack_int nrhs, double a[], lapack_int ipiv[], double b[])
+    {
+        return lu_solve_factored(n, nrhs, a, ipiv, b, LAPACK_dgetrs);
+    }
+
+    DLLEXPORT lapack_int c_lu_solve_factored(lapack_int n, lapack_int nrhs, lapack_complex_float a[], lapack_int ipiv[], lapack_complex_float b[])
+    {
+        return lu_solve_factored(n, nrhs, a, ipiv, b, LAPACK_cgetrs);
+    }
+
+    DLLEXPORT lapack_int z_lu_solve_factored(lapack_int n, lapack_int nrhs, lapack_complex_double a[], lapack_int ipiv[], lapack_complex_double b[])
+    {
+        return lu_solve_factored(n, nrhs, a, ipiv, b, LAPACK_zgetrs);
+    }
+
+    DLLEXPORT lapack_int s_lu_solve(lapack_int n, lapack_int nrhs, float a[], float b[])
+    {
+        return lu_solve(n, nrhs, a, b, LAPACK_sgetrf, LAPACK_sgetrs);
+    }
+
+    DLLEXPORT lapack_int d_lu_solve(lapack_int n, lapack_int nrhs, double a[], double b[])
+    {
+        return lu_solve(n, nrhs, a, b, LAPACK_dgetrf, LAPACK_dgetrs);
+    }
+
+    DLLEXPORT lapack_int c_lu_solve(lapack_int n, lapack_int nrhs, lapack_complex_float a[], lapack_complex_float b[])
+    {
+        return lu_solve(n, nrhs, a, b, LAPACK_cgetrf, LAPACK_cgetrs);
+    }
+
+    DLLEXPORT lapack_int z_lu_solve(lapack_int n, lapack_int nrhs, lapack_complex_double a[],  lapack_complex_double b[])
+    {
+        return lu_solve(n, nrhs, a, b, LAPACK_zgetrf, LAPACK_zgetrs);
+    }
+
+    DLLEXPORT lapack_int s_cholesky_factor(lapack_int n, float a[])
+    {
+        return cholesky_factor(n, a, LAPACK_spotrf);
+    }
+
+    DLLEXPORT lapack_int d_cholesky_factor(lapack_int n, double* a)
+    {
+        return cholesky_factor(n, a, LAPACK_dpotrf);
+    }
+
+    DLLEXPORT lapack_int c_cholesky_factor(lapack_int n, lapack_complex_float a[])
+    {
+        return cholesky_factor(n, a, LAPACK_cpotrf);
+    }
+
+    DLLEXPORT lapack_int z_cholesky_factor(lapack_int n, lapack_complex_double a[])
+    {
+        return cholesky_factor(n, a, LAPACK_zpotrf);
+    }
+
+    DLLEXPORT lapack_int s_cholesky_solve(lapack_int n, lapack_int nrhs, float a[], float b[])
+    {
+        return cholesky_solve(n, nrhs, a, b, LAPACK_spotrf, LAPACK_spotrs);
+    }
+
+    DLLEXPORT lapack_int d_cholesky_solve(lapack_int n, lapack_int nrhs, double a[], double b[])
+    {
+        return cholesky_solve(n, nrhs, a, b, LAPACK_dpotrf, LAPACK_dpotrs);
+    }
+
+    DLLEXPORT lapack_int c_cholesky_solve(lapack_int n, lapack_int nrhs, lapack_complex_float a[], lapack_complex_float b[])
+    {
+        return cholesky_solve(n, nrhs, a, b, LAPACK_cpotrf, LAPACK_cpotrs);
+    }
+
+    DLLEXPORT lapack_int z_cholesky_solve(lapack_int n, lapack_int nrhs, lapack_complex_double a[], lapack_complex_double b[])
+    {
+        return cholesky_solve(n, nrhs, a, b, LAPACK_zpotrf, LAPACK_zpotrs);
+    }
+
+    DLLEXPORT lapack_int s_cholesky_solve_factored(lapack_int n, lapack_int nrhs, float a[], float b[])
+    {
+        return cholesky_solve_factored(n, nrhs, a, b, LAPACK_spotrs);
+    }
+
+    DLLEXPORT lapack_int d_cholesky_solve_factored(lapack_int n, lapack_int nrhs, double a[], double b[])
+    {
+        return cholesky_solve_factored(n, nrhs, a, b, LAPACK_dpotrs);
+    }
+
+    DLLEXPORT lapack_int c_cholesky_solve_factored(lapack_int n, lapack_int nrhs, lapack_complex_float a[], lapack_complex_float b[])
+    {
+        return cholesky_solve_factored(n, nrhs, a, b, LAPACK_cpotrs);
+    }
+
+    DLLEXPORT lapack_int z_cholesky_solve_factored(lapack_int n, lapack_int nrhs, lapack_complex_double a[], lapack_complex_double b[])
+    {
+        return cholesky_solve_factored(n, nrhs, a, b, LAPACK_zpotrs);
+    }
+
+    DLLEXPORT lapack_int s_qr_factor(lapack_int m, lapack_int n, float r[], float tau[], float q[], float work[], lapack_int len)
+    {
+        return qr_factor(m, n, r, tau, q, work, len, LAPACK_sgeqrf, LAPACK_sorgqr);
+    }
+
+    DLLEXPORT lapack_int s_qr_thin_factor(lapack_int m, lapack_int n, float q[], float tau[], float r[], float work[], lapack_int len)
+    {
+        return qr_thin_factor(m, n, q, tau, r, work, len, LAPACK_sgeqrf, LAPACK_sorgqr);
+    }
+
+    DLLEXPORT lapack_int d_qr_factor(lapack_int m, lapack_int n, double r[], double tau[], double q[], double work[], lapack_int len)
+    {
+        return qr_factor(m, n, r, tau, q, work, len, LAPACK_dgeqrf, LAPACK_dorgqr);
+    }
+
+    DLLEXPORT lapack_int d_qr_thin_factor(lapack_int m, lapack_int n, double q[], double tau[], double r[], double work[], lapack_int len)
+    {
+        return qr_thin_factor(m, n, q, tau, r, work, len, LAPACK_dgeqrf, LAPACK_dorgqr);
+    }
+
+    DLLEXPORT lapack_int c_qr_factor(lapack_int m, lapack_int n, lapack_complex_float r[], lapack_complex_float tau[], lapack_complex_float q[], lapack_complex_float work[], lapack_int len)
+    {
+        return qr_factor(m, n, r, tau, q, work, len, LAPACK_cgeqrf, LAPACK_cungqr);
+    }
+
+    DLLEXPORT lapack_int c_qr_thin_factor(lapack_int m, lapack_int n, lapack_complex_float q[], lapack_complex_float tau[], lapack_complex_float r[], lapack_complex_float work[], lapack_int len)
+    {
+        return qr_thin_factor(m, n, q, tau, r, work, len, LAPACK_cgeqrf, LAPACK_cungqr);
+    }
+
+    DLLEXPORT lapack_int z_qr_factor(lapack_int m, lapack_int n, lapack_complex_double r[], lapack_complex_double tau[], lapack_complex_double q[], lapack_complex_double work[], lapack_int len)
+    {
+        return qr_factor(m, n, r, tau, q, work, len, LAPACK_zgeqrf, LAPACK_zungqr);
+    }
+
+    DLLEXPORT lapack_int z_qr_thin_factor(lapack_int m, lapack_int n, lapack_complex_double q[], lapack_complex_double tau[], lapack_complex_double r[], lapack_complex_double work[], lapack_int len)
+    {
+        return qr_thin_factor(m, n, q, tau, r, work, len, LAPACK_zgeqrf, LAPACK_zungqr);
+    }
+
+    DLLEXPORT lapack_int s_qr_solve(lapack_int m, lapack_int n, lapack_int bn, float a[], float b[], float x[], float work[], lapack_int len)
+    {
+        return qr_solve(m, n, bn, a, b, x, work, len, LAPACK_sgels);
+    }
+
+    DLLEXPORT lapack_int d_qr_solve(lapack_int m, lapack_int n, lapack_int bn, double a[], double b[], double x[], double work[], lapack_int len)
+    {
+        return qr_solve(m, n, bn, a, b, x, work, len, LAPACK_dgels);
+    }
+
+    DLLEXPORT lapack_int c_qr_solve(lapack_int m, lapack_int n, lapack_int bn, lapack_complex_float a[], lapack_complex_float b[], lapack_complex_float x[], lapack_complex_float work[], lapack_int len)
+    {
+        return qr_solve(m, n, bn, a, b, x, work, len, LAPACK_cgels);
+    }
+
+    DLLEXPORT lapack_int z_qr_solve(lapack_int m, lapack_int n, lapack_int bn, lapack_complex_double a[], lapack_complex_double b[], lapack_complex_double x[], lapack_complex_double work[], lapack_int len)
+    {
+        return qr_solve(m, n, bn, a, b, x, work, len, LAPACK_zgels);
+    }
+
+    DLLEXPORT lapack_int s_qr_solve_factored(lapack_int m, lapack_int n, lapack_int bn, float r[], float b[], float tau[], float x[], float work[], lapack_int len)
+    {
+        return qr_solve_factored(m, n, bn, r, b, tau, x, work, len, LAPACK_sormqr, cblas_strsm);
+    }
+
+    DLLEXPORT lapack_int d_qr_solve_factored(lapack_int m, lapack_int n, lapack_int bn, double r[], double b[], double tau[], double x[], double work[], lapack_int len)
+    {
+        return qr_solve_factored(m, n, bn, r, b, tau, x, work, len, LAPACK_dormqr, cblas_dtrsm);
+    }
+
+    DLLEXPORT lapack_int c_qr_solve_factored(lapack_int m, lapack_int n, lapack_int bn, lapack_complex_float r[], lapack_complex_float b[], lapack_complex_float tau[], lapack_complex_float x[], lapack_complex_float work[], lapack_int len)
+    {
+        return complex_qr_solve_factored(m, n, bn, r, b, tau, x, work, len, LAPACK_cunmqr, cblas_ctrsm);
+    }
+
+    DLLEXPORT lapack_int z_qr_solve_factored(lapack_int m, lapack_int n, lapack_int bn, lapack_complex_double r[], lapack_complex_double b[], lapack_complex_double tau[], lapack_complex_double x[], lapack_complex_double work[], lapack_int len)
+    {
+        return complex_qr_solve_factored(m, n, bn, r, b, tau, x, work, len, LAPACK_zunmqr, cblas_ztrsm);
+    }
+
+    DLLEXPORT lapack_int s_svd_factor(bool compute_vectors, lapack_int m, lapack_int n, float a[], float s[], float u[], float v[], float work[], lapack_int len)
+    {
+        return svd_factor(compute_vectors, m, n, a, s, u, v, work, len, LAPACK_sgesvd);
+    }
+
+    DLLEXPORT lapack_int d_svd_factor(bool compute_vectors, lapack_int m, lapack_int n, double a[], double s[], double u[], double v[], double work[], lapack_int len)
+    {
+        return svd_factor(compute_vectors, m, n, a, s, u, v, work, len, LAPACK_dgesvd);
+    }
+
+    DLLEXPORT lapack_int c_svd_factor(bool compute_vectors, lapack_int m, lapack_int n, lapack_complex_float a[], lapack_complex_float s[], lapack_complex_float u[], lapack_complex_float v[], lapack_complex_float work[], lapack_int len)
+    {
+        return complex_svd_factor<lapack_complex_float, float>(compute_vectors, m, n, a, s, u, v, work, len, LAPACK_cgesvd);
+    }
+
+    DLLEXPORT lapack_int z_svd_factor(bool compute_vectors, lapack_int m, lapack_int n, lapack_complex_double a[], lapack_complex_double s[], lapack_complex_double u[], lapack_complex_double v[], lapack_complex_double work[], lapack_int len)
+    {
+        return complex_svd_factor<lapack_complex_double, double>(compute_vectors, m, n, a, s, u, v, work, len, LAPACK_zgesvd);
+    }
+
+    DLLEXPORT lapack_int s_eigen(bool isSymmetric, lapack_int n, float a[], float vectors[], lapack_complex_double values[], float d[])
+    {
+        if (isSymmetric)
+        {
+            return sym_eigen_factor<float>(n, a, vectors, values, d, LAPACKE_ssyev);
+        }
+        else
+        {
+            return eigen_factor(n, a, vectors, values, d, LAPACKE_sgees, LAPACKE_strevc);
+        }
+    }
+
+   DLLEXPORT lapack_int d_eigen(bool isSymmetric, lapack_int n, double a[], double vectors[], lapack_complex_double values[], double d[])
+    {
+        if (isSymmetric)
+        {
+            return sym_eigen_factor<double>(n, a, vectors, values, d, LAPACKE_dsyev);
+        }
+        else
+        {
+            return eigen_factor(n, a, vectors, values, d, LAPACKE_dgees, LAPACKE_dtrevc);
+        }
+    }
+
+    DLLEXPORT lapack_int c_eigen(bool isSymmetric, lapack_int n, lapack_complex_float a[], lapack_complex_float vectors[], lapack_complex_double values[], lapack_complex_float d[])
+    {
+        if (isSymmetric)
+        {
+            return sym_eigen_factor<float>(n, a, vectors, values, d, LAPACKE_cheev);
+        }
+        else
+        {
+            return eigen_complex_factor(n, a, vectors, values, d, LAPACKE_cgees, LAPACKE_ctrevc);
+        }
+    }
+    
+    DLLEXPORT lapack_int z_eigen(bool isSymmetric, lapack_int n, lapack_complex_double a[], lapack_complex_double vectors[], lapack_complex_double values[], lapack_complex_double d[])
+    {
+        if (isSymmetric)
+        {
+            return sym_eigen_factor<double>(n, a, vectors, values, d, LAPACKE_zheev);
+        }
+        else
+        {
+            return eigen_complex_factor(n, a, vectors, values, d, LAPACKE_zgees, LAPACKE_ztrevc);
+        }
+    }
+}

src/NativeProviders/Windows/OpenBLAS/OpenBLASWrapper.vcxproj

@@ -0,0 +1,219 @@
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+<Project DefaultTargets="Build" ToolsVersion="12.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <ItemGroup Label="ProjectConfigurations">
+    <ProjectConfiguration Include="Debug|Win32">
+      <Configuration>Debug</Configuration>
+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
+    <ProjectConfiguration Include="Debug|x64">
+      <Configuration>Debug</Configuration>
+      <Platform>x64</Platform>
+    </ProjectConfiguration>
+    <ProjectConfiguration Include="Release|Win32">
+      <Configuration>Release</Configuration>
+      <Platform>Win32</Platform>
+    </ProjectConfiguration>
+    <ProjectConfiguration Include="Release|x64">
+      <Configuration>Release</Configuration>
+      <Platform>x64</Platform>
+    </ProjectConfiguration>
+  </ItemGroup>
+  <PropertyGroup Label="Globals">
+    <ProjectGuid>{CB4011B6-E9A7-480B-A7B1-8492039DAAD1}</ProjectGuid>
+    <RootNamespace>OpenBLASWrapper</RootNamespace>
+    <ProjectName>OpenBLAS</ProjectName>
+  </PropertyGroup>
+  <Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|Win32'" Label="Configuration">
+    <ConfigurationType>DynamicLibrary</ConfigurationType>
+    <PlatformToolset>v120</PlatformToolset>
+    <CharacterSet>MultiByte</CharacterSet>
+    <WholeProgramOptimization>true</WholeProgramOptimization>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="Configuration">
+    <ConfigurationType>DynamicLibrary</ConfigurationType>
+    <PlatformToolset>v120</PlatformToolset>
+    <CharacterSet>MultiByte</CharacterSet>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'" Label="Configuration">
+    <ConfigurationType>DynamicLibrary</ConfigurationType>
+    <PlatformToolset>v120</PlatformToolset>
+    <CharacterSet>MultiByte</CharacterSet>
+    <WholeProgramOptimization>true</WholeProgramOptimization>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|x64'" Label="Configuration">
+    <ConfigurationType>DynamicLibrary</ConfigurationType>
+    <PlatformToolset>v120</PlatformToolset>
+    <CharacterSet>MultiByte</CharacterSet>
+  </PropertyGroup>
+  <Import Project="$(VCTargetsPath)\Microsoft.Cpp.props" />
+  <ImportGroup Label="ExtensionSettings">
+  </ImportGroup>
+  <ImportGroup Condition="'$(Configuration)|$(Platform)'=='Release|Win32'" Label="PropertySheets">
+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
+  </ImportGroup>
+  <ImportGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="PropertySheets">
+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
+  </ImportGroup>
+  <ImportGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'" Label="PropertySheets">
+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
+  </ImportGroup>
+  <ImportGroup Condition="'$(Configuration)|$(Platform)'=='Debug|x64'" Label="PropertySheets">
+    <Import Project="$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props" Condition="exists('$(UserRootDir)\Microsoft.Cpp.$(Platform).user.props')" Label="LocalAppDataPlatform" />
+  </ImportGroup>
+  <PropertyGroup Label="UserMacros">
+    <OpenBLASIncludeDir>$(ProjectDir)..\..\..\..\..\libs\OpenBLAS\include</OpenBLASIncludeDir>
+    <OpenBLASLibDir>$(ProjectDir)..\..\..\..\..\libs\OpenBLAS\x86</OpenBLASLibDir>
+    <OpenBLASLibDir_x64>$(ProjectDir)..\..\..\..\..\libs\OpenBLAS\x64</OpenBLASLibDir_x64>
+  </PropertyGroup>
+  <PropertyGroup>
+    <_ProjectFileVersion>11.0.50727.1</_ProjectFileVersion>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
+    <OutDir>$(ProjectDir)..\..\..\..\out\OpenBLAS\Windows\x86\</OutDir>
+    <IntDir>$(Platform)\$(Configuration)\</IntDir>
+    <TargetName>MathNet.Numerics.OpenBLAS</TargetName>
+    <IncludePath>$(OpenBLASIncludeDir);$(IncludePath)</IncludePath>
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+  <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|x64'">
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