SuperLU

SuperLU contains a set of subroutines to solve a sparse linear system
A*X=B. This is often at the heart of many research computing tasks in science, engineering, statistical software. It uses Gaussian elimination with partial pivoting (GEPP). The columns of A may be preordered before factorization; the preordering for sparsity is completely separate from the factorization. SuperLU is implemented in ANSI C, and must be compiled with standard
ANSI C compilers. It provides functionality for both real and complex matrices, in both single and double precision. In addition, a Matlab MEX interface option is available for access from within Matlab. Additional info may be found at: http://crd.lbl.gov/~xiaoye/SuperLU/