Coordinator
Dec 21, 2011 at 3:59 PM

It is possible to call Fortran routines directly. The key to doing this is the
FP data type. Below is a call to the Cholesky decompostion from
http://xlllapack.codeplex.com. Note that it does not allocate any memory, it just uses the array passed in by Excel. Excel arrays are row major unlike Fortran arrays, so the 'L' means upper ('U') in this case.
#include <mkl_lapack.h>
#include "xll/xll.h"
using namespace xll;
using namespace xll;
static AddInX xai_potrf(
"?xll_potrf", XLL_FP XLL_FP,
_T("POTRF"), _T("Matrix"),
"LAPACK", "Computes the upper Cholesky factorization of a symmetric (Hermitian) positivedefinite matrix."
);
_FP* WINAPI
xll_potrf(_FP* pa)
{
#pragma XLLEXPORT
static char u('L');
try {
ensure (pa>rows == pa>columns);
int n = pa>rows;
int info;
DPOTRF(&u, &n, pa>array, &n, &info);
ensure (info == 0);
// fill in lower portion with zeros
for (xword i = 1; i < n; ++i)
for (xword j = 0; j < i; ++j)
index(*pa, i, j) = 0;
}
catch (const std::exception& ex) {
XLL_ERROR(ex.what());
return 0;
}
return pa;
}

