mathematical Libraries

Hi. I work above all with Matlab (in C I am a beginner), but i know that a well programmed C code is faster than a Matlab one. So, is there any mathematical library which contains functions similar to Matlab functions (like gradient, fft, fspecial, filter2, ...)? Or does somebody know any way to convert a .m code to an optimum .c or .cpp?
Because i may compare 2 algorithms, Matlab one is faster (in theory), but in Matlab the algorihm developed in C (and convert to mex to compare) is faster.
Thank you.

A couple mathematical libraries are LAPACK/BLAS for linear algebra, and GMP for ... well, pretty much everything. Depending on your setup you may already have the first installed.

Edit: I said GMP but meant GSL. Sorry.

Ok, i'll look for it. Thank you.