Does eigen3 have an interative solver for Dense matrices?

The iterative solvers (CG and BiCGSTAB) should also work on dense matrices:

x = ConjugateGradient<MatrixXd>(A).solve(b);

The use of 'sparse' all over the documentation got to me for a second One other question. Why do I get std::bad_alloc exception when I try to create a big matrix?

because you run out of memory. How big is your dense matrix?