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Looks like a problem with linking static libraries, g++ looks for dynamic libraries unless you do:
g++ -static -g -O2 -L/usr/local/atlas/lib/ -o linprog.exe main.o matrix.o vector.o lipsol.o myexception.o matrix-io.o matrix-cmp.o matrix-ops.o matrix-pos.o matrix-fun.o matrix-lna.o matrix-stb.o sparsematrix.o -llapack -lcblas -lf77blas -latlas
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