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Solve linear systems with multiple right hand sides
Idea
The probabilistic linear solver can solve problems with multiple right hand sides nrhs
by taking multiple actions at each iteration, one for each right hand side. The update for the matrix models can be performed for batch updates in the same manner as they are done now.
Remark
For a symmetric Kronecker product covariance the induced covariance takes the following form:
This requires the implementation of a BoxProduct
linear operator.
TODOs
- [ ] Implement
linops.BoxProduct
- [ ] Refactor policies to return arrays
- [ ] Update induced solution random variable