@vigsterkr Its not late actually. I am still touching up things in this. :)
I  just now saw that there are already some files of LanczosEigenSolver and DirectEigenSolver in mathematics/linalg . But it seems that not all methods are implemented there. As of now, we can access only max eigenvalue and min eigenvalue. We could work on adding all methods there and then use them here. But in PCA we would still like to store just the transformation matrix and eigenvalues vector as parameters.
 
But this is all gibberish from the mind of an inexperienced chap (ie me :))
Lets wait for input from @karlnapf and @iglesias on this.