OpenMP is a standard API in the shared-memory parallel computing for languages; it's used in several open source projects such as ImageMagick (http://www.imagemagick.org/) to try and speed up the processing on large image manipulations. Cython has some support for this compiler extension. But, you must be aware that you need to use compilers such as GCC or MSVC, which support OpenMP. Clang/LLVM has no OpenMP support yet. This isn't really a place to explain when and why to use OpenMP since it is really a vast subject, but you should check out the following website: http://docs.cython.org/src/userguide/parallelism.html.
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