I'm trying to set a custom xerbla function in MKL 11 update 2. I'm calling the library from c# using the code below. However, it does not seem to replace the error function and still calls the inbuilt one. The code below is from a console app in visual studio 2010.

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Runtime.InteropServices;

namespace MKLTest
{
    class Program
    {
        static void Main(string[] args)
        {
            // correct call to initialise the library
            IntelMathLibrary.CBLASDoubleMatrixVectorMultiply(CBLAS_ORDER.CblasRowMajor, CBLAS_TRANSPOSE.CblasNoTrans, 2, 4, 1, new double[8], 4, new double[4], 1, 1, new double[2], 1);

            // Do this to make sure that we have kept a reference to the callback correctly
            // otherwise it will be garbage collected and the callback will fail with a call to collected delegate exception
            GC.Collect();

            // the leading dimension of the matrix is wrong here
            IntelMathLibrary.CBLASDoubleMatrixVectorMultiply(CBLAS_ORDER.CblasRowMajor, CBLAS_TRANSPOSE.CblasNoTrans, 2, 4, 1, new double[8], 2, new double[4], 1, 1, new double[2], 1);
        }
    }

    public enum CBLAS_TRANSPOSE
    {
        CblasNoTrans = 111, /* trans='N' */
        CblasTrans = 112, /* trans='T' */
        CblasConjTrans = 113
    };

    public enum CBLAS_ORDER
    {
        CblasRowMajor = 101, /* row-major arrays */
        CblasColMajor = 102
    };

    public class IntelMathLibrary
    {
        private const string INTEL_DLL_NAME = "mkl_rt.dll";

        private static XerblaErrorHandlerCallback xerblaCallbackReferenceToStopItBeingGarbageCollected;
        static IntelMathLibrary()
        {
            xerblaCallbackReferenceToStopItBeingGarbageCollected = XerblaErrorHandler;
            setXerblaHandler(xerblaCallbackReferenceToStopItBeingGarbageCollected);
        }

        [UnmanagedFunctionPointerAttribute(CallingConvention.Cdecl)]
        private delegate void XerblaErrorHandlerCallback(IntPtr srname, ref int info, int len);

        [DllImport(INTEL_DLL_NAME, EntryPoint = "mkl_set_xerbla", CallingConvention = CallingConvention.Cdecl)]
        private static extern XerblaErrorHandlerCallback setXerblaHandler(XerblaErrorHandlerCallback errorHandler);

        private static void XerblaErrorHandler(IntPtr srname, ref int info, int len)
        {
            throw new ArgumentException("Error in parameter " + info);
        }

        [DllImport(INTEL_DLL_NAME, EntryPoint = "cblas_dgemv", CallingConvention = CallingConvention.Cdecl,
           ExactSpelling = true, SetLastError = false)]
        public static extern void CBLASDoubleMatrixVectorMultiply([In] CBLAS_ORDER order,
            [In] CBLAS_TRANSPOSE transposeMatrixFlag, [In] int numberOfMatrixRows, [In] int numberOfMatrixColumns,
            [In] double matrixFactor, [In] double[] matrixData, [In] int leadingDimensionMatrix,
            [In] double[] vectorData, [In] int vectorIncrement,
            [In] double outputFactor, [In, Out] double[] outputVector, [In] int outputVectorIncrement);
    }
}