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Description
Summary
I want to add the abilities of hykkt to ReSolve to allow users to solve optimization problems using HyKKT. Note that this requires a paradigm shift in ReSolve, because it currently expects just a matrix and a vector,
Use this repo as a reference for tests. I will create sub-issues.
Branch of off hykkt-dev
for all these branches.
Where HyKKT names are following different conventions, they should be changed to follow ReSolve conventions.
Rationale
HyKKT is frequently the best solver for systems arising form optimization solvers. It has two distinct advantages over any method that solves the system as a whole:
- It expects matrices in block form, which is how they are natively generated by the optimization solver.
- It only factorizes SPD systems, so it is guaranteed to work with the same pivoting sequences on matrices in the same nonlinear problem.
Description
- Permutation class and tests for HyKKT #309
- Add ability for block Ruiz Scaling to HyKKT #310
- Add Cholesky factorization, triangular solves, and tests #311
- Add sparse matrix-matrix product and addition capabilities to HyKKT #312
Additional information
No response