The Intel Math Kernel Library is a software library for Intel and compatible processors. It provides vectorized and threaded routines for optimal performance and is compatible with all C, C++ and FORTRAN compilers.
From the Intel-MKL Product Brief:
Intel® MKL includes highly vectorized and threaded Linear Algebra, Fast Fourier Transforms (FFT), Vector Math and Statistics functions. Through a single C or Fortran API call, these functions automatically scale across previous, current and future processor architectures by selecting the best code path for each.
The linear algebra part contains BLAS levels 1, 2 and 3 routine for single/double precision and complex types. It also includes LAPACK routines for solving linear algebra problems like LU, Cholesky, QR factorisation.