I made use of the sparsediag 1.1 application part of alps-applications 1.3.4. The maximal interations for the eigenvalues MAX_ITERATIONS can be set in the parameter file. For the calculation of the eigenvectors (correlations) this parameter is not adjustable outside the source code (set to 10). I had to fix this for my purposes. I am sure the way I implemented it is not up to the standards, but it maybe interesting to note neverthless.
Sebastian