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Whenever you run Java simply add the argument.

Example:

>> rem run java with 512 MB max heap size
>> Java -Xmx512m myClass

If you're using an IDE, you'll have to look through the IDE...

call the JVM with the following arguments:

-Xms for initial heap size (default: 32 MB)
-Xmx for max heap size (default: 128 MB)

So, for example say you wanted to use a max heap size of 512MB:...