[eigen] Lanczos Algorithm

[Imène Tendjaoui <imene.tendjaoui@xxxxxxxxx>]

Hi, Tristan, Bediss and I have been working on implementing the Lanczos Algorithm to implement eigenvalue decompositions for sparse matrices, and we have started with implementing a version for dense matrices to get familiar with both the library and the algorithm. The Lanczos algorithm provides a tridiagonal matrix so we were wondering wheter it would be a good idea to use the characteristic polynomials to find the eigenvalues - given that the polynomials have particular properties - or use a more general algorithm. We do not know all the algorithms, so feel free to make any suggestions.. Thank you for your help ! Bediss, Tristan and Imène