  We present an efficient method to solve the impurity Hamiltonians involved in
Dynamical Mean-Field Theory at low but finite temperature, based on the
extension of the Lanczos algorithm from ground state properties alone to
excited states. We test the approach on the prototypical Hubbard model and find
extremely accurate results from T=0 up to relatively high temperatures, up to
the scale of the critical temperature for the Mott transition. The algorithm
substantially decreases the computational effort involved in finite temperature
calculations.
