How to know the usage of undocumented function like LinearAlgebra`BLAS?
Update
Leaving my old answer below for historical reference, however as of version 11.2.0 (currently available on Wolfram Cloud and soon to be released as a desktop product) the low-level linear algebra functions have been documented, see
http://reference.wolfram.com/language/LowLevelLinearAlgebra/guide/BLASGuide.html
The comments by both Michael E2 and J. M. ♦ are already an excellent answer, so this is just my attempt at summarizing.
Undocumented means just what it says: there need not be any reference pages or usage messages, or any other kind of documentation. There are many undocumented functions and if you follow MSE regularly, you will encounter them often. Using such functionality, however, is not without its caveats.
Sometimes, functions (whether documented or undocumented) are written in top-level (Mathematica, or if you will, Wolfram Language) code, so one can inspect the actual implementation by spelunking. However, that is not the case for functions implemented in C as part of the kernel.
Particularly for the LinearAlgebra`BLAS` interface, the function signatures are kept quite close to the well-established FORTRAN conventions (which is also what MKL adheres to, see the guide for ?gemm) with a few non-surprising adjustments. For instance, consider
xGEMM( TRANSA, TRANSB, M, N, K, ALPHA, A, LDA, B, LDB, BETA, C, LDC )
and the corresponding syntax for LinearAlgebra`BLAS`GEMM which is
GEMM[ transa, transb, alpha, a, b, beta, c ]
where we can see the storage-related parameters such as dimensions and strides are omitted, since the kernel already knows how the matrices are laid out in memory. All other arguments are the same, and even come in the same order.
As an usage example,
a = {{1, 2}, {3, 4}}; b = {{5, 6}, {7, 8}}; c = b; (* c will be overwritten *)
LinearAlgebra`BLAS`GEMM["T", "N", -2, a, b, 1/2, c]; c
(* {{-(99/2), -57}, {-(145/2), -84}} *)
-2 Transpose[a].b + (1/2) b
(* {{-(99/2), -57}, {-(145/2), -84}} *)
Note that for machine precision matrices, Dot will end up calling the corresponding optimized xgemm function from MKL anyway, so I would not expect a big performance difference. It is certainly much more readable and easier to use Dot rather than GEMM for matrix multiplication.
On the topic of BLAS in Mathematica, I would also recommend the 2003 developer conference talk by Zbigniew Leyk, which has some further implementation details and examples.
How should I know the correct order of arguments without trying several times?
You can't, usually. A lot of the undocumented usage that you see on this site will have been worked out by trial and error. Sometimes it is fruitless - I have explored plenty of interesting-sounding internal functions and got nowhere.
Are there detailed usage information of undocumented function can be found inside mma?
No. "Undocumented" rather implies the absence of detailed usage information :-)
I was wondering if we could extract usage from the content of the message tag like argrx or blnsetst?
Sometimes the message will help, for example by stating how many or what type of argument was expected, but there is no hidden usage information. The message you see is all there is.
Some other comments
Sometimes you can read the function's code. For example using PrintDefinitions:
Needs["GeneralUtilities`"]
PrintDefinitions[Export];
Sometimes you cannot read the function's code but you see it being used inside another function which you can read - for example SystemException in the previous output. This can help in working out how and why to use it.
Often the function's name is a big help. Image`DogVision is undocumented but you can probably guess what it does and that it expects an image as its argument.
Other than that it tends to be a question of how patient you are and how badly you want to know.