Optimal use of computing resources requires extensive coding, tuning and benchmarking. To boost developer productivity in these time consuming tasks, we introduce the Experimental Linear Algebra Performance Studies framework (ELAPS), a multi-platform open source environment for fast yet powerful performance experimentation with dense linear algebra kernels, algorithms, and libraries. ELAPS allows users to construct experiments to investigate how performance and efficiency vary depending on factors such as caching, algorithmic parameters, problem size, and parallelism. Experiments are designed either through Python scripts or a specialized GUI, and run on the whole spectrum of architectures, ranging from laptops to clusters, accelerators, and supercomputers. The resulting experiment reports provide various metrics and statistics that can be analyzed both numerically and visually. We demonstrate the use of ELAPS in four concrete application scenarios and in as many computing environments, illustrating its practical value in supporting critical performance decisions.