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I think the simplest and platform-independent approach is to define a custom function which will temporarily set current working directory. I use the fact that the first argument of LibraryFunction is the full path to the library. load = With[{f = #, dir = DirectoryName@#[[1]]}, Module[{cwd = Directory[], res}, SetDirectory@dir; res = f@##; ...


I can partially answer to my own questions. Amazingly, but it is easier to use the internal MKL. Let us consider my question about multiplication a band matrix by a dense matrix. The corresponding function is mkl_zdiamm. I wrote the following code (diamm.c) #include <stdio.h> #include <stdlib.h> #include <WolframLibrary.h> #include ...

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