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The Lanczos algorithm promises these benefits relative to KPM:
As currently implemented, Lanczos is currently slower than KPM per iteration. But because many fewer iterations are required, Lanczos still seems favorable in overall speed. And future optimizations may be possible, e.g., operating on multiple right-hand side vectors in parallel.
Possible disadvantages of Lanczos may become apparent when the number of iterations becomes large (e.g., in the hundreds and beyond). Numerical roundoff error may accumulate -- the empirical effects of this will require testing. Also, Lanczos requires direct diagonalization of a tridiagonal matrix, and this cost may eventually dominate after a very large number of iterations.
See https://arxiv.org/abs/2410.11090 for a modern mathematical review of the Lanczos method, including a numerical stability analysis in Sec. 4.