New Post: OutOfMemoryException when performing eigenvalue decomposition

It's certainly possible to compute an EVD on a 4600x4600 dense matrix with Math.NET Numerics; such a matrix is only 160 MB and should thus fit into memory easily. But even with MKL it will take a while to compute the decomposition (a bit more than a minute on my system with random data).

However, I'd strongly recommend to switch to 64-bit mode (and 64-bit MKL).
How much RAM does your system have available?

Thanks,
Christoph