Some of the mex files use parallel programming using [http://openmp.org/wp/ OpenMp]:
- sparse_hessian_times_B_kronecker_C
- simulate
Under linux some global variables have to be defined to get the thing working because there is an incompatibility issue between the multithread library distributed with matlab (libguide.so) and the open source multithread library used by the gnu compiler (libgomp.so).