BLAS and LAPACK
BLAS and LAPACK are dense numerical linear algebra packages. SCS uses these libraries in two places:
To compute the eigen-decomposition for the semidefinite cone projection
To solve the linear system in Anderson acceleration
Therefore compiling with BLAS / LAPACK is optional. If you are
not interested in solving SDPs or using acceleration then there is no need to
use these libraries. To compile without these libraries you can set the
compiler flag USE_LAPACK to 0, e.g., if
installing using make:
make USE_LAPACK=0
If you do want to solve SDPs or use Anderson acceleration, then you will need to install BLAS and LAPACK libraries (these are pre-installed in most machines). If calling SCS from another language (Python, MATLAB etc.) then these libraries should be pre-installed and SCS will try to link against them. Otherwise you may need to install a copy yourself. A good library to start with is OpenBLAS, which contains both BLAS and LAPACK.
There are many different BLAS and LAPACK libraries that conform to the same API. Finding one that is optimized for your machine can make a big difference to the speed of the operations in practice. If the speed of the SDP projection or the acceleration step is a bottleneck you can experiment with faster libraries like MKL or ATLAS.