I have a large regression problem, roughly 200,000 observations on 20,000 variables. Getting an estimate can take days. The problem is running on a Windows 10 machine with 26 cores.
I have been reading that it is possible to install a multi-threaded version of the underlying BLAS library which might give an order of magnitude speed-up. Can I get advice on this? (Preferably using very small words that are easy to understand )