How to parallelize inversion of a sparse matrix?

Question

I'm using eigen3 package in c++ to invert some large sparse matrices (eg 12000*12000) which I need for later operations; however, it's really time-consuming and I can't extend it to larger matrices. Is it possible to do this in parallel for example using openmp?

Thanks in advance.

Answer 1

You could use Eigen as a sparse matrix container and use MKL parallel sparse solver functions to calculate the inversion.

https://software.intel.com/node/521676

Although Eigen does not provide APIs for MKL spare solvers. You could still use them with low-level interface.