Add CG4a method

[ErikQQY]

Part of #1064

Corresponding paper: https://link.springer.com/content/pdf/10.1023/A:1016645730465.pdf

Convergence test:

[mateuszbaran]

For reference, ManifoldDiffEq.jl has this method (https://github.com/JuliaManifolds/ManifoldDiffEq.jl/blob/main/src/frozen_solvers.jl) with additional functionalities like possibility to use optimized or approximate exponential maps, or exponential maps not defined by matrix exponential, as well as support for arbitrary definitions of frozen coefficient vector fields.

[ChrisRackauckas]

Yeah and using these with defined manifolds is much better. This is fine for completeness though.