Custom linear solver

[gdragotto]

Hey!

I was trying to use MKL as a custom direct solver via the Python setting direct_solve_method, however, I noticed in the Rust source that so far only qdldl is supported. Is there any plan to have support for MKL or other linear solvers?

[goulart-paul]

We only have HSL / MKL / Panua available in the Julia version, so passing anything other than "qdldl" to the Rust implementation (or Python wrapper) will fail.

We have a working wrapper for faer-rs in Rust. Current branch for that is here. It is not merged yet since I would like to test it a bit more still and also to provide user settable options for multithreading.

At the moment if you want that to work in python you would need to rebuild the solver and python wrapper yourself though.

We will (eventually...) try to provide wrappers for HSL and Pardiso, and I think it should be fairly straightforward to do. The issue is more how to do dynamic linking to locally available libraries if are want to distribute with the python binaries without creating licensing problems.