Set up OpenBLAS with NO_AFFINITY=1 to make it most useful for applications such as R.

openblas_ubuntu_compilation.txt

1. Check out OpenBlas from https://github.com/xianyi/OpenBLAS and check out the master branch.
2. Build and install to /opt:
a.) Multi-threaded:
make NO_AFFINITY=1
b.) Single-threaded:
sudo make PREFIX=/opt install
3. Configure it as your BLAS of choice:
sudo update-alternatives --install /usr/lib/libblas.so.3gf libblas.so.3gf /opt/lib/libopenblas.so.0 50
4. Check the configuration to make sure it's selected
update-alternatives --config libblas.so.3gf
5. You can confirm that R is using it by launching R in the background, getting its pid, and making sure that the blas you want is the one listed:
lsof -p <pid> | grep blas
6. If you've built multi-threaded, set $OMP_NUM_THREADS to the number of threads you want to be used for parallelization. (You can also set the OpenBLAS or GotoBLAS equivalent variable; I set the OpenMP one so I can only set one variable for both OpenMP and OpenBLAS. See the OpenBLAS README for details.)

Here are the timings on my system using R Benchmark 2.5 (http://r.research.att.com/benchmarks/R-benchmark-25.R):
1. Default BLAS (/usr/lib/libblas/libblas.so.3gf)
> proc.time()
   user  system elapsed 
150.165   1.720 152.264 

2. Ubuntu package libopenblas-base (/usr/lib/openblas-base/libopenblas.so.0)
> proc.time()
   user  system elapsed 
 66.792   7.472  55.680 

3. OpenBLAS as compiled above for Sandy Bridge (/opt/lib/libopenblas.so.0)
> proc.time()
   user  system elapsed 
 55.727  17.557  46.894 

After installing OpenBLAS (Ubuntu 16.04) the stats package will no longer load:

Error in dyn.load(file, DLLpath = DLLpath, ...) :
unable to load shared object '/usr/lib/R/library/stats/libs/stats.so':
/usr/lib/liblapack.so.3: undefined symbol: gotoblas
During startup - Warning message:
package ‘stats’ in options("defaultPackages") was not found