The Portable Extensible Toolkit for Scientific Computing (PETSc) from Argonne National Laboratory is a well known tool for parallel linear algebra. It contains classes for distributed vectors and matrices and a large number of algorithms for eigenvalues, singular value decomposition, and solving linear systems of equaitons. The PETSc library has been used in numerous research and software projects.
The installation of PETSc on a Windows computer can be somewhat challenging. This is particularly true if one wants to use an optimized version with external BLAS libraries.
We have produced a fast version of PETSc on Windows, using the Intel Compilers (C and Fortran) and the INTEL MKL BLAS library. In addition, we have written a easy-to-use Windows installer for the library. The installer installs PETSc and makes it available as a project type in Visual Studio 2010 and 2012. By installing PETSc for Windows, you can immediately get started with parallel programming.
The software is available from us free of charge. We would like to test the installer a bit more before we put a download link on the website. If you send us an e-mail, we will give you access to the software and send you installation instructions.