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BLASFEO is a dense linear algebra library providing high-performanceimplementations of BLAS- and LAPACK-like routines for use in embeddedoptimization. A key difference with respect to existing high-performanceimplementations of BLAS is that the computational performance is optimized forsmall to medium scale matrices, i.e., for sizes up to a few hundred. BLASFEOcomes with three different implementations: a high-performance implementationaiming at providing the highest performance for matrices fitting in cache, areference implementation providing portability and embeddability and optimizedfor very small matrices, and a wrapper to standard BLAS and LAPACK providinghigh-performance on large matrices. The three implementations of BLASFEOtogether provide high-performance dense linear algebra routines for matricesranging from very small to large. Compared to both open-source and proprietaryhighly-tuned BLAS libraries, for matrices of size up to about one hundred thehigh-performance implementation of BLASFEO is about 20-30% faster than thecorresponding level 3 BLAS routines and 2-3 times faster than the correspondingLAPACK routines.

BLASFEO: basic linear algebra subroutines for embedded optimization