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How to handle large matrix in alglib http://forum.alglib.net/viewtopic.php?f=2&t=362 
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Author:  gyhuang [ Tue May 24, 2011 6:51 am ] 
Post subject:  How to handle large matrix in alglib 
Hello I am wondering how can I handle large matrix in alglib. For example, if the size is 10000*10000, we can not use two dimensional array. If the matrix is really large, we can only use vector<vector<double>> to maintain it. However, how can I assign it to real_2d_array or ae_matrix structures. If I can, I can use it to handle matrix problems. In my understanding, the inner data structure in real_2d_array and ae_matrix are both pointers. For example, aematrix.ptr.pp_double[i][j] maintains the matrix. In this case, alglib still can not handle large matrix. Any suggestions? Thanks. 
Author:  Sergey.Bochkanov [ Tue May 24, 2011 1:04 pm ] 
Post subject:  Re: How to handle large matrix in alglib 
If you want to handle really large matrices, you should work in 64bit mode. With 64bit pointers and integers ALGLIB will easily process your data. Although not too fast  some linear algebra algorithms (SVD and EVD solvers) still rely on Level 2 BLAS which means that their performance will decrease on matrices which does not fit into CPU cache. In this case I recommend you to use ATLAS. 
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