Ive been trying to develop a solver for a generalised symmetric banded eigenproblem A*z = λ*B*z. I'm currently using the following chain of MKL functions:
1. DPBSTF (factorise)
2. DSBGST (standard form)
3. DSBEVX (solve for some eigenvalues and eigenvectors)
4. Recover Eigenvectors of original system using X from (2)
In this process an NxN matrix seems to be necessary to recover the eigenvectors at stage (4), but I am having trouble finding enough memory for this matrix (with N of 6000 +). I'm working on a 64bit Windows 7 machine, coding in vb.net with fortran wrappers to the mkl functions, so memory usage (within the .net environment) is the limiting factor here, not speed of solution. Is there any alternatives that you know of that would allow me to avoid using an NxN matrix at all? As it is I'm overwriting matrices and reusing memory as much as possible and it is still struggling with these relatively small matrices...