Add a dense LU factorization with rook-pivoting

Submitted by Gael Guennebaud @ggael

Assigned to Nobody

Link to original bugzilla bug (#831)

Description

The is a rank-revealing LU implementation which can leverage fast matrix-matrix operations. It thus has a very small overhead compared to PartialPivLU (about 30%), and it looks pretty simple to implement. A Fortran implementation under the BSD licence is available there:

http://www.mathworks.com/matlabcentral/fileexchange/37721-rook-pivoting