On Thu, Dec 8, 2016 at 11:21 AM, Kathrin Smetana <ksmet...@mit.edu> wrote:

> Hi John,
>
> Thanks very much for your comments and suggestions!
>
> In the Eigen documentation they have a Sparse LU decomposition with
> Umfpack and Super LU support, but I have not checked the implementation.
>
> Unfortunately my matrix has a dimension of 1M \times 1M…
>

1M x 1M double precision numbers is roughly 7450 Gb.  So even if the sparse
decomposition is only 10% of that you are looking at a lot of memory...

I think you will definitely also need to run in parallel, so you can spread
the decomposition out over multiple processors... this rules out the Eigen
implementation, as it is only serial IIRC.

-- 
John
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