When calling DGELSS multiple times with the same arguments, I find that the results of the FIRST call differ ever so slightly from subsequent calls which are all indentical. Typically, the differences are in the last couple of digits.
I have not found such problems with any other MKL functions.
I am using MKL7.0 on Windows XP Pro, Pentium IV 3Ghz. Visual C++ 7.1
Perhaps MKL is altering the floating point precision via the _controlfp / control87 functions?