If you're doing this for work, you might want to take a look at the Intel Math Kernel Library. It's not exactly cheap, at $400 per developer, but redist is free. Some of the PhD people where I work use it, and say it's really good. (We use it for structural analysis and design of buildings.) It's available for Linux and Windows. It supports both in-core and out-of-core solving, and you can download a trial version for free to see if it has the features you need. But if you can't get your work to pay for it, it's probably a no-go due to its price.
Memory issues in C++
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Memory issues in C++ - by Tim Gould - 2012-01-17, 7:08
Re: Memory issues in C++ - by Travis Cobbs - 2012-01-17, 17:40
Re: Memory issues in C++ - by Tim Gould - 2012-01-17, 20:40
Re: Memory issues in C++ - by Roland Melkert - 2012-01-17, 18:11
Re: Memory issues in C++ - by Tim Gould - 2012-01-17, 20:46
Re: Memory issues in C++ - by Steffen - 2012-01-18, 0:32
Re: Memory issues in C++ - by Tim Gould - 2012-01-18, 0:35
Re: Memory issues in C++ - by Steffen - 2012-01-18, 0:46
Re: Memory issues in C++ - by Tim Gould - 2012-01-18, 1:34
Re: Memory issues in C++ - by Travis Cobbs - 2012-01-18, 2:14
Re: Memory issues in C++ - by Roland Melkert - 2012-01-18, 18:02
Re: Memory issues in C++ - by Travis Cobbs - 2012-01-17, 20:56
Re: Memory issues in C++ - by Tim Gould - 2012-01-17, 21:15
Re: Memory issues in C++ - by Tim Gould - 2012-01-19, 8:23
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