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Solve linear systems with multiple right hand sides

Open JonathanWenger opened this issue 3 years ago • 0 comments

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:

IMG_6066

This requires the implementation of a BoxProduct linear operator.

TODOs

  • [ ] Implement linops.BoxProduct
  • [ ] Refactor policies to return arrays
  • [ ] Update induced solution random variable

JonathanWenger avatar Jan 18 '21 11:01 JonathanWenger