Hi:

I am trying to use an iterative method(GMRES) for large-scale calculation in Newton's method. I want to use the function evaluation directly without form the matrix, i.e., I only know how to evaluate the matrix-vector multiplication, but I don't know what is the matrix. How can I do that? Thank you.

An example for Eigen 3.2 and ConjugateGradient should be available there within a few hours:

http://eigen.tuxfamily.org/dox/group__M ... ample.html

If you're impatient, here is the respective commit adding this example:

https://bitbucket.org/eigen/eigen/commits/579db4426915

It is an example that a user provided to me a while ago that I've just finalized and uploaded. In Eigen 3.3 (devel branch), this should be much easier and clean.