MINRES for large-scale KKT systems

[exenGT]

Dear JAXOPT developers,

I'm interested in constrained optimization problems, which naturally leads to solving KKT systems. For large scale problems, an iterative solver is needed. As KKT matrix is symmetric indefinite, one cannot use conjugate gradient, but rather need to use MINRES algorithm. I'm wondering if this algorithm exists in the repo? If not, is there any plan to add it?

Thanks, JW

[mblondel]

I would think that MINRES is in the scope of JAXopt, although we don't have plan to add it any time soon.

In the mean time, you can also use one of solve_normal_cg, solve_gmres and solve_bicgstab (they don't require the system to be definite)

https://jaxopt.github.io/stable/linear_system_solvers.html