My code is as simple as follows
LaSymmMatDouble A(N, N);
LaGenMatDouble Eigenvectors(N, N);
LaEigSolve(A, v, Eigenvectors);
However, I find that N can not be more than 40000. I feel puzzled about this. From the Internet a lot of people said LAPACK supports large matrix. Also, it is a little bit slow to calculate eigenvectors.
My problem is simply to calculate eigenvectors and eigenvalue for matrix as large as 40000*40000. Any idea on this?