While I agree it would be great to have an abstract class for Eigensolvers (in fact we have a base class for that), Lanzcos is not good here since it is iterative and more suitable for large sparse matrices (we dont have that here)

However, I would love to see

 * an Eigensolver base class (general, the existing class in linalg would have to be modified slightly)
 * A subclass for Dense Eigen problems like here in PCA
 * that is used for all of Shoguns Eigenproblems (like PCA)
 * that can be changed easily to run problems on GPU with a global call