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May 18, 2014 at 14:11 comment added Brian Borchers Note that you don't actually have to store multiple copies of $A$ and $A^{T}$. All that LSQR requires is that you be able to compute the matrix vector products $Ax$ and $A^{T}y$. One copy of the $A$ matrix is sufficient for this.
May 18, 2014 at 8:40 vote accept mojovski
May 18, 2014 at 8:40 comment added mojovski I probably should have mentioned the authors of the link I posted. Its also from Paige and Saunders. :) However, thank you very much for the link! It is at least a great confirmation of that I did not found something too exotic and that this is a widely used approach.
May 18, 2014 at 2:34 history answered Brian Borchers CC BY-SA 3.0