Provide wrappers/bridge to a sparse matrix library

[ukoethe]

Candidates:

• SuiteSparse (first choice, contains all relevant methods and is the basis of newer MATLAB versions)
• Eigen (nice C++ interface, but doesn't yet seem to have many sparse algorithms)
• GMM++
• MTL4 (now belongs to a company that also offers an open-source version)
• SuperLU (the classic, and the basis of scipy.sparse, in C)
• PETSc (huge library for all kinds of numerical algorithms in C)
• Trilinos (likewise, but C++)
• TBCI
• OpenNL (contains GPU support)

A number of other libraries exist, but they are mostly dead projects, or far less powerful.