Modified conjugate gradient method for diagonalizing large matrices

We present an iterative method to diagonalize large matrices. The basic idea is the same as the conjugate gradient (CG) method, i.e, minimizing the Rayleigh quotient via its gradient and avoiding reintroducing errors to the directions of previous gradients. Each iteration step is to find lowest eigenvector of the matrix in a subspace spanned by the current trial vector and the corresponding gradient of the Rayleigh quotient, as well as some previous trial vectors. The gradient, together with the previous trial vectors, play a similar role as the conjugate gradient of the original CG algorithm. Our numeric tests indicate that this method converges significantly faster than the original CG method. And the computational cost of one iteration step is about the same as the original CG method. It is suitable for first principle calculations.