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Building HDF4 and HDF5
HDF4
TBD
HDF5
There are binaries available, and they're probably fine, but the headers are not, because HDF5 installs different headers depending on which compiler it was built with (which in itself is a bug). Luckily, building HDF5 from source is fairly easy.
First, get the latest source from http://www.hdfgroup.org/HDF5/release/obtain5.html and extract it in a convenient place. Next, run configure, and make sure to enable C++ support:
$ ./configure --prefix=/opt/hdf5 --enable-cxx
Revisit later in re thread safety
Finally, build and install:
$ make install