BIDMach is a very fast machine learning library. Check the latest benchmarks
Please download an executable bundle from here. You will needs the libs from there in order to build from a git branch. We use a lot of native code which isnt 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
BIDMach is a sister project of BIDMat, a matrix library, which is also on github