I am trying to use the unsupported GMRES algorithm and I want it to use my own preconditionner. Is there any wrapper for user's specified preconditionner ? Or any other way to use it?

Thank you

sorry for this late reply, maybe you've already a way to do it
so for the record,
You can create your own class of preconditioner and use it as a template parameter during the creation of the GMRES object.
The IdentityPreconditioner class (in Eigen/src/InterativeLinearSolvers/BasicPreconditioners.h gives a sketch of the methods you need to implement, typically the compute() and the solve() method.