I would like to know if there are any multithreaded sparse linear solvers for LU decomposed sparse matrices.
I want to increase the solving speed of a system like:
import numpy as np
from scipy.sparse import diags
import scipy.sparse.linalg as spla
n = 1_000_000
diagonals = [-0.01*np.ones(n-1), np.ones(n), -0.01*np.ones(n-1)]
offsets = [-1, 0, 1]
mat = diags(diagonals, offsets, shape=(n, n), format='csc')
LU_mat = spla.splu(mat)
b = np.random.randn(n)
for i in range(654):
b = LU_mat.solve(b)
Where LU decomposition is performed once, and solved "n" times.
On my machine, this example appears to be single threaded.
Are there any Python libraries with multithreaded solvers, so that I can take advantage of the resources of my machine?
