I have type the following code.
\begin{align*}
\RR = \left\{ a_1 = \begin{pmatrix}
0 & 0 \\
0 & 0
\end{pmatrix},
a_2 = \begin{pmatrix}
1 & 0 \\
0 & 0
\end{pmatrix},
a_3 = \begin{pmatrix}
0 & 1 \\
0 & 0
\end{pmatrix},
a_4 = \begin{pmatrix}
0 & 0 \\
0 & 1
\end{pmatrix} \\
a_5 = \begin{pmatrix}
1 & 1 \\
0 & 0
\end{pmatrix},
a_6 = \begin{pmatrix}
0 & 1 \\
0 & 1
\end{pmatrix},
a_7 = \begin{pmatrix}
1 & 1 \\
0 & 1
\end{pmatrix},
a_8 = \begin{pmatrix}
1 & 0 \\
0 & 1
\end{pmatrix}
\right\}
\end{align*}

\RR? – Salim Bou Jul 13 '15 at 16:01\left\{ ... \right\}doesn't work across line breaks. – Torbjørn T. Jul 13 '15 at 16:27