Set Improved MKL Consistency

src/NativeWrappers/MKL/lapack.cpp

@@ -8,6 +8,8 @@
 #include "lapack_common.h"
 #include "wrapper_common.h"
 #include "mkl_lapacke.h"
+#include "mkl.h"
+#include "mkl_trans.h"
 
 template<typename T>
 inline MKL_INT lu_factor(MKL_INT m, T a[], MKL_INT ipiv[],
@@ -748,4 +750,11 @@ extern "C" {
 			return eigen_complex_factor<MKL_Complex16>(n, a, vectors, values, d, LAPACKE_zgees, LAPACKE_ztrevc);
 		}
     }
+
+    DLLEXPORT void SetImprovedConsistency(void)
+    {
+        // set improved consistency for mkl and vector functions
+        mkl_cbwr_set(MKL_CBWR_COMPATIBLE);
+        vmlSetMode(VML_HA|VML_DOUBLE_CONSISTENT);
+    }
 }

src/Numerics/Providers/LinearAlgebra/Mkl/MklLinearAlgebraProvider.cs

@@ -42,6 +42,14 @@ namespace MathNet.Numerics.Providers.LinearAlgebra.Mkl
     /// </summary>
     public partial class MklLinearAlgebraProvider : ManagedLinearAlgebraProvider
     {
+        /// <summary>
+        /// Improves MKL Consistency to get bit consistent results on repeated identical calculations
+        /// </summary>
+        public MklLinearAlgebraProvider()
+        {
+            SafeNativeMethods.SetImprovedConsistency();
+        }
+
         /// <summary>
         /// Computes the requested <see cref="Norm"/> of the matrix.
         /// </summary>

src/Numerics/Providers/LinearAlgebra/Mkl/SafeNativeMethods.cs

@@ -100,6 +100,9 @@ namespace MathNet.Numerics.Providers.LinearAlgebra.Mkl
 
         #region LAPACK
 
+        [DllImport(DllName, ExactSpelling = true, SetLastError = false, CallingConvention = CallingConvention.Cdecl)]
+        internal static extern void SetImprovedConsistency();
+
         [DllImport(DllName, ExactSpelling = true, SetLastError = false, CallingConvention = CallingConvention.Cdecl)]
         internal static extern float s_matrix_norm(byte norm, int rows, int columns, [In] float[] a, [In, Out] float[] work);