Add MKL Sparse QR Support
Describe the feature you would like to be implemented.
Please support the MKL Sparse QR, described here: https://www.intel.com/content/www/us/en/developer/articles/technical/intel-mkl-sparse-qr-solver-multifrontal-sparse-qr-factorization-method-for-solving-a-sparse.html
Would such a feature be useful for other users? Why?
The performance comparisons show that is outperforms SuiteSparseQR on a collection of benchmarks.
Projects that use Eigen (e.g. ceres) could benefit from a fast Sparse QR solver on all major platforms. SuiteSparseQR, another fast QR solver, is not officially supported on Windows.
Any hints on how to implement the requested feature?
I guess similar to e.g. PARDISO or SuiteSparseQR support.
Additional resources
Edited by Bryn Lloyd