Pass arrays between VB.NET and VC++ - c++

Question

I've a written a function to calculate the correlation matrix for variables (risks) held in a flat file structure. I.e. RiskID | Year | Amount
I have written the function because the library routines that I can find necessitate a matrix input. That is, RiskID as 2nd dimension and year as the 1st dimension - with amounts as actual array values. The matrix needs to be complete, in that zero values must be included also and hence for sparsely populated non zero data - this leads to wasted iterations which can be bypassed. The routine relies upon the data being sorted first by Year (asc) then by RiskID (asc)
I have written the routine in C++ (for speed) to be compiled as a dll and referenced in VB.NET. I need to pass 3 arrays (one each for each of the headers) and return a 2 dimensional array back to VB.NET. I guess I'm cheating by passing 3 individual 1d arrays instead of a 2d array but there you go. I'll post the full C++ routine as others may find it useful if seeking to do something similar. I'd be surprised if this hasn't been done before - but I just can't find it.
I lack the interop knowledge to implement this properly and am getting nowhere googling around. As far as I can workout I may need to use SAFEARRAY ?
Or is there a quick fix to this problem? Or is SAFEARRAY a piece of cake. Either way an example would be very helpful.
Also, as a side note - I'm sure the memory management is failing somewhere?
Here is the Visual C++ (VS2013)
Header File
#ifndef CorrelLib_EXPORTS
#define CorrelLib_API __declspec(dllexport)
#else
#define CorrelLib_API __declspec(dllimport)
#endif
// Returns correlation matrix for values in flat file
extern "C" CorrelLib_API double** __stdcall CalcMatrix(int* Risk, int* Year, double* Loss, const int& RowNo, const int& RiskNo, const int& NoSimYear);
CPP File
#include "stdafx.h"
#include "CorrelLib.h"
#include <memory>
#include <ctime>
using namespace std;
extern "C" CorrelLib_API double** __stdcall CalcMatrix(int* Risk, int* Year, double* Loss, const int& RowNo, const int& RiskNo, const int& NoSimYear)
{
int a, b;
int i, j, k;
int YearCount, MissingYears;
int RowTrack;
//Relies on Year and Risk being sorted in ascending order in those respective orders Year asc, Risk asc
double *RiskTrack = new double[RiskNo](); //array of pointers?
int *RiskTrackBool = new int[RiskNo](); //() sets inital values to zero
double *RiskAvg = new double[RiskNo]();
double *RiskSD = new double[RiskNo]();
//Create 2d array to hold results 'array of pointers to 1D arrays of doubles'
double** Res = new double*[RiskNo];
for (i = 0; i < RiskNo; ++i)
{
Res[i] = new double[RiskNo](); //()sets initial values to zero
}
//calculate average
for (i = 0; i < RowNo; i++)
{
a = Risk[i];
RiskAvg[a] = RiskAvg[a] + Loss[i];
}
for (i = 0; i < RiskNo; i++)
{
RiskAvg[i] = RiskAvg[i] / NoSimYear;
}
//Enter Main Loop
YearCount = 0;
i = 0; //start at first row
do {
YearCount = YearCount + 1;
a = Risk[i];
RiskTrack[a] = Loss[i] - RiskAvg[a];
RiskTrackBool[a] = 1;
j = i + 1;
do
{
if (Year[j] != Year[i])
{
break;
}
b = (int)Risk[j];
RiskTrack[b] = Loss[j] - RiskAvg[b];
RiskTrackBool[b] = 1;
j = j + 1;
} while (j < RowNo);
RowTrack = j;
//check through RiskTrack and if no entry set to 0 - avg
for (j = 0; j < RiskNo; j++)
{
if (RiskTrackBool[j] == 0)
{
RiskTrack[j] = -1.0 * RiskAvg[j];
RiskTrackBool[j] = 1;
}
}
//Now loop through and perform calcs
for (j = 0; j < RiskNo; j++)
{
//SD
RiskSD[j] = RiskSD[j] + RiskTrack[j] * RiskTrack[j];
//Covar
for (k = j + 1; k < RiskNo; k++)
{
Res[j][k] = Res[j][k] + RiskTrack[j] * RiskTrack[k];
}
}
//Reset RiskTrack
for (k = 0; k<RiskNo; k++)
{
RiskTrack[k] = 0.0;
RiskTrackBool[k] = 0;
}
i = RowTrack;
} while (i < RowNo);
//Account For Missing Years
MissingYears = NoSimYear - YearCount;
for (i = 0; i < RiskNo; i++)
{
//SD
RiskSD[i] = RiskSD[i] + MissingYears * RiskAvg[i] * RiskAvg[i];
//Covar
for (j = i + 1; j < RiskNo; j++)
{
Res[i][j] = Res[i][j] + MissingYears * RiskAvg[i] * RiskAvg[j];
}
}
//Covariance Matrix
for (i = 0; i < RiskNo; i++)
{
//SD
RiskSD[i] = sqrt(RiskSD[i] / (NoSimYear - 1));
if (RiskSD[i] == 0.0)
{
RiskSD[i] = 1.0;
}
//Covar
for (j = i + 1; j < RiskNo; j++)
{
Res[i][j] = Res[i][j] / (NoSimYear - 1);
}
}
//Correlation Matrix
for (i = 0; i < RiskNo; i++)
{
Res[i][i] = 1.0;
for (j = i + 1; j < RiskNo; j++)
{
Res[i][j] = Res[i][j] / (RiskSD[i] * RiskSD[j]);
}
}
//Clean up
delete[] RiskTrack;
delete[] RiskTrackBool;
delete[] RiskAvg;
delete[] RiskSD;
//Return Array
return Res;
}
Def File
LIBRARY CorrelLib
EXPORTS
CalcMatrix
VB.NET
I've created a simple winform with a button which triggers the code below. I wish to link to the dll, pass the arrays and receive the result as a 2d array.
Imports System
Imports System.Runtime.InteropServices
Public Class Form1
<DllImport("CorrelLib.dll", EntryPoint:="CalcMatrix", CallingConvention:=CallingConvention.StdCall)> _
Public Shared Function CorrelMatrix2(ByRef Risk_FE As Integer, ByRef Year_FE As Integer, ByRef Loss_FE As Double, _
ByRef RowNo As Long, ByRef RiskNo As Long, ByRef NoSimYear As Long) As Double(,)
End Function
Private Sub Button1_Click(sender As Object, e As EventArgs) Handles Button1.Click
Dim i As Integer, j As Integer
Dim Risk() As Long, Year() As Long, Loss() As Double
Dim NoRisks As Long, NoSimYear As Long, NoRows As Long
Dim counter As Long
Dim Result(,) As Double
NoRisks = 50
NoSimYear = 10000
NoRows = NoRisks * NoSimYear
ReDim Risk(0 To NoRows - 1), Year(0 To NoRows - 1), Loss(0 To NoRows - 1)
counter = 0
For i = 1 To NoSimYear
For j = 1 To NoRisks
Risk(counter) = j
Year(counter) = i
Loss(counter) = CDbl(Math.Floor((1000000 - 1 + 1) * Rnd())) + 1
counter = counter + 1
Next j
Next i
Dim dllDirectory As String = "C:\Users\Documents\Visual Studio 2013\Projects\CorrelLibTestForm"
Environment.SetEnvironmentVariable("PATH", Environment.GetEnvironmentVariable("PATH") + ";" + dllDirectory)
Result = CorrelMatrix2(Risk(1), Year(1), Loss(1), NoRows, NoRisks, NoSimYear)
End Sub
End Class
Current Error Message
An unhandled exception of type >'System.Runtime.InteropServices.MarshalDirectiveException' occurred in >CorrelLibTestForm.exe
Additional information: Cannot marshal 'return value': Invalid >managed/unmanaged type combination.

Answer 1

A double ** pointer to a pointer is not the same with a 2 dimension array in vb. Your best bet is to return just a pointer:
double *pdbl;
pdbl = &res[0][0];
return pdbl; //pdbl points to the first element
In vb you use an IntPtr to get the pointer:
Dim Result As IntPtr = Marshal.AllocHGlobal(4)
Dim dbl As Double
Result = CorrelMatrix2(Risk(1), Year(1), Loss(1), NoRows, NoRisks, NoSimYear)
//derefference the double pointer, i(integer) is actually the index in the array of doubles
dbl = CType(Marshal.PtrToStructure(IntPtr.Add(Result, i * 8), GetType(Double)), Double)
Your res array in c++ function needs to be public so the memory allocated to it is valid after the function returns.