Fastest Matrix Inverse Excel VBA
<p>I have many equations with many unknowns (my data is in Excel) and currently I am using matrix method to solve them.
I use inbuilt MMULT (matrix multiply) and MINVERSE (matrix inverse) in following form :- Result = MMULT (MINVERSE(matrix1),matrix2)
Here lies the problem, my matrices are of the order of 2000 x 2000 or more, and Excel takes lot of time in doing inverse (matrix multiplication is very fast).</p>

<p>What is the best way for me to speed up the process? I don't mind exporting data to any external 3rd party program (compatible with Excel) and then importing the inversed matrix back to Excel.</p>

<p>I don't know much C / C++, but I feel if we compile the Matrix Inverse Function into a DLL and then use the same from excel VBA, maybe the speed will improve. Please help.</p>

<p>Please see following link : 
<a href="https://stackoverflow.com/questions/6058139/why-is-matlab-so-fast-in-matrix-multiplication">Why is MATLAB so fast in matrix multiplication?</a></p>

<p>It is found that MATLAB has highest speed for matrix calculations. Can we use any such library in Excel / VBA ?</p>

<p>I have found certain libraries such as LAPACK, ARMADILO etc which are in C / C++ / C# or .NET. How can I use compiled versions of these libraries in my Excel VBA?</p>