Following the instruction here and here, I built and installed R with the MKL library. Running this benchmark test shows that a significant improvement in performance over the default build (8.782 vs. 33.446 second).
Running the same test on my Windows machine (with an older Core2 chip) took 51 seconds. Following the suggestions and replaced the default "Rblas.dll" with the one provided here, reduced the run-time to 26 seconds.
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