I wrote that is not paralleled RRR algorithm, which is included in dsyevr: http://software.intel.com/en-us/forums/showthread.php?t=73653(Unfortunately, now my page is not available). Intel MKL - very good package, but for your problem, he is not well suited. Most likely an internal error occurs because the RRR algorithm. Most time is spent on bringing to tridiagonal form for BLAS level 2. The rest you can quickly calculate, given that you do not need all the eigenvectors. Once again I say that dsyevr because RRR algorithm inaccurate and unreliable.
Propose to act as follows:
2. dstedc (To program this feature, it took 10 years.)This algorithm requires a lot of RAM, but fast and reliable.
3. dormtr (Apply this feature only to those eigenvectors tridiagonal matrix that you want).