As mkl reference manual discrible,
To solve a particular problem, you usually call several computational routines. Sometimes you need to combine the routines of this chapter with other LAPACK routines described in "LAPACK Routines: Linear Equations" as well as with BLAS routines described in "BLAS and Sparse BLAS Routines".
For example, to solve a set of least squares problems minimizing ||Ax - b||2 for all columns b of a given matrix B (where A and B are real matrices), you can call ?geqrf to form the factorization A = QR, then call ?ormqr to compute C = QHB and finally call the BLAS routine ?trsm to solve for X the system of equations RX = C.
Another way is to call an appropriate driver routine that performs several tasks in one call. For example, to solve the least squares problem the driver routine ?gels can be used.
Some forum users' problem for your reference: http://software.intel.com/en-us/forums/showthread.php?t=104541&o=a&s=lr