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To make full use of the vectorizing capabilities of the Intel Cascade Lake CPUs, AVX-512 instructions and the 512-bit ZMM registers can be used with the following compile flags of the Intel compilers:
-xCORE-AVX512 -qopt-zmm-usage=high
However, high ZMM register usage is not recommended in all cases (read more).
With the GNU compilers, the corresponding compiler flags are
-march=cascadelake -mprefer-vector-width=512
Using the Intel MKL
The Intel® Math Kernel Library (Intel® MKL) is designed to run on multiple processors and operating systems. It is also compatible with several compilers and third party libraries, and provides different interfaces to the functionality. To support these different environments, tools, and interfaces, Intel MKL provides multiple libraries from which to choose.
Check out Intel's link line advisor to see what libraries are recommended for a particular use case.