Compile FFTW3

1. Down load FFTW from the website.

2. configure

./configure --with-our-malloc16 --with-windows-f77-mangling --enable-shared --disable-static --enable-threads --with-combined-threads --enable-portable-binary --enable-sse2 --enable-avx --enable-avx2 --enable-float --with-incoming-stack-boundary=2 --prefix=/mnt/c/Users/Linyu/Downloads/Software/fftw_lib

3. make

make -j 8 

4. install

make install