I'm using MKL pardiso on a 64-bit Windows 7 machine with 32 GB of RAM. I am running a solver using backward Euler, with a steadily increasing number of variables. When the sparse matrix that I'm inverting gets to about 600x600 the program crashes with the "Insufficient virtual memory" message. This is not a problem with any of the memory that I control directly - I am careful about deallocating after allocating. This is recent a MKL - with IVF Composer XE 2013.
I am using OpenMP, and the crash occurs with ncpu = 8.
I don't understand why the program needs virtual memory anyway - at the peak the total memory usage reported by Task Manager is less than 7 GB.
Since I have just started using MKL and pardiso I will not be surprised to learn that I am missing something simple.