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### How Do I solve large systems given UMFPACK memory limitations?

I am trying to solve a system of equations (A x = b) for 3D heat diffusion (i.e. each equation has at most 7 terms not including the constant "b" term) using UMFPACK with boost numeric bindings to C++....
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### Stable method for solving a HJB equation

I am considering finite difference methods and their error analysis for solving HJB equation of the following form: $$v_t=|\sigma(x)v_x|,\quad x\in \mathbb{R},$$ where $\sigma$ is a given function ...
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