Add solver MUMPS using KKT interface as new backend.

[freemin7]

MUMPS is a solver for problems that don't fit in the RAM of a single machine. Website

There exist several MUMPS backends in Julia

• MUMPS jll
• JuliaInv MUMPS
• JuliaSmoothOptimizer MUMPS

So research is required which one to pick. MUMPS requires a license which should be easily available.

[mtanneau]

You don't need to procure a license if you use MUMPS_jll (which I would recommend).

For pointers: https://github.com/sshin23/MadNLP.jl/tree/master/src/LinearSolvers They have an interface for MUMPS, similar to what would be needed here.