Valuation of top eigenvalues/eigenvectors only
CPU time to perform Matrix diagonalization scales like n^3 where n is the size of the matrix. In many applications, however, one needs to know the top eigenvalues/eigenvectors only.
MKL provides this: "LAPACKE_dsyevr" where one can select how many eigenvalues one wants to compute.
Would be great if this functionality was available in mathnet!