In reply to Rick Wicklin.

Thank you Rick for the quick answer. That is helpful. I am trying to figure out my options for the next steps. So, can you confirm that SAS IML in Viya 3.5 (or later) would be able to handle such a matrix (with the appropriate GBs or RAM)? Is there another alternative to the root function? The final goal is to simulate multivariate normal random variables.
Thanks again,
Ardian