Out of the box, I believe that MATLAB only processes sparse matrices, as you say.
But you can take a look at the Tensor Toolbox and the N-way Toolbox to see if they fit your needs. Both are freely available, and I heard good things about everyone (although I didn't use it myself). Tensor Toolbox, in particular, apparently has at least some support for sparse multidimensional arrays.
Sam roberts
source share