I'm trying to diagonalize a matrix in julia, but the matrix is itself too large to calculate. But I can efficiently calculate the matrix vector product. I'm looking for a solution so that I can use the matrix vector product into eigs and solve using lanzcos method. Is there a package that gives me an output in the form of matrix vector product?
Can someone help here?
You can use the ARPACK based eigs function which is included in Julia 0.6.2 or you can use a pure Julia implementation of a related method in https://github.com/JuliaMath/IterativeSolvers.jl. The latter isn't Lanczos based but I guess it doesn't really matter as long as it gives you the eigenvalues.