Some stats, might be useful for somebody,
Solving a 28x28 tridiagonal matrix 10000 times gives the following results.
MathNet.Numerics.Control.UseNativeMKL(); //176 ms
MathNet.Numerics.Control.UseNativeOpenBLAS(); // 1627 ms
MathNet.Numerics.Control.UseManaged(); // 162 ms
The managed code actually appeared typically the fastest option but the NativeMKL code was virtually the same. OpenBlas however was incredibly slow.