parfor with C++ function call and memory allocation

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Dear all,
I have a function written in C++ that allocates memory depending on the size of the input.
This function was compiled with mex and call from matlab inside a for loop.
When running a large number of iterations the C++ function returns Nan values because of memory corruption.
For a small number of iterations, it just seems to run in separate processors and finish without changing to Nan values.
Are there any recomendations about how to write C++ functions with memory allocation compatible with parfor ?
Best regards,
o

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