Krylov subspace methods, Arnoldi method

[termoshtt]

Arnoldi method is a fundamental component of Krylov subspace method, which is used in sparse matrix context. However, the idea of Arnoldi method can be extended to general linear operators.

TODO

• [x] Iterative QR decomposition #150
  • [x] modified Gram-Schmit #149
  • [x] Householder #154
• [x] Interface of Arnoldi #155
• [ ] Implement GMRES (as an example and test)

[preiter93]

Hi,

I know this issue is quite old, but I became interested in the GMRES method.

I have created a first draft, which is similar to the Arnoldi iteration, and also implements Gmres as an iterator. It's still a bit raw in some corners, but if there is interest I could open a pull request?

It is found here: https://github.com/preiter93/gmres