I have to solve "simple" matrix equation A*X=B, where some of the uknkowns from X could be found in A or B matrix as part of their members. Which solver should I use? Any suggestions? I suppose some iterative solver or else?

I don't think that there is such an easy solver, but I think it won't be so hard to solve it using some unsupported non-linear solvers:
http://eigen.tuxfamily.org/dox/unsuppor ... olver.html