BIDMat is a very fast matric algebra library. Check the latest benchmarks
The github distribution contains source code only. To get the libraries for your platform, run ./getdevlibs.sh from this directory. Then you can run bidmat with ./bidmat.
You can build the Java/Scala main jar with sbt (included). There are build scripts for both Scala 2.10 and 2.11. Copy the appropriate one into build.sbt, and then do "./sbt package". You can then run bidmat with ./bidmat (you still need to download the libraries some of which are native).
You can also download an executable bundle from here. You will need the libs from there in order to build from a git branch. We use a lot of native code which isn't all available from repos, and you will save a lot of time and headaches by grabbing compiled versions.
The main project page is here.
Documentation is here in the wiki
BIDMat is a sister project of BIDMach, a machine learning library, which is also on github