I would appreciate if someone could answer the following question for me: does the nonlinear least square solver has support for sparse problems? I mean, what if the optimization problem is large and the jacobian matrix is sparse (each row contains a few nonzeros). Some libraries, such as Matlab, give you handles so you can write a subroutineto compute theappropriatematrix-vector products instead of forming the Jacobian. Does Intel MKL have something like this?
Thank you in advance,