I need to build up the matrix of matrices. Say, for all $1\leq i,j\leq n$ I have to define a matrix $p_{ij}$ which will be a matrix $n\times n$. What I can do - it is to build up a matrix $P$ which is $n^2\times n^2$ - but for $n=20$ there is an error about memory.
Could you please tell me how to solve this problem?