This paper describes MITMatlab, a system that enables users of supercomputers or networked PCs to work on large data sets within Matlab transparently. MITMatlab is based on the Parallel Problems Server (PPServer), a standalone 'linear algebra server' that provides a mechanism for running distributed memory algorithms on large data sets. The PPServer and MITMatlab enable high-performance interactive supercomputing. With such a tool, researchers can now use Matlab as more than a prototyping tool for experimenting with small problems. Instead, MITMatlab makes is possible to visualize and operate interactively on large data sets. This has implications not only in supercomputing, but for Artificial Intelligence applicatons such as Machine Learning, Information Retrieval and Image Processing