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Consider a pure pytorch (cupy-free) solution

Nice work @mattiaspaul

In terms of low-level linear algebra, I was looking at similar questions for generic sparse linear systems (not necessarilly SPD) and also ended up using cupy:
pytorch/pytorch#69538 (comment)

Unfortunately, dealing with interactions between cupy and pytorch can be fiddly at times. Having a solution available upstream in pytorch might take time:
pytorch/pytorch#28341

However, for CG specifically, there are a number of cupy-free options (including inplementing CG yourself by porting the cupy code or else). PyLops-GPU is one of them:
https://pylops-gpu.readthedocs.io/en/latest/api/index.html
https://pylops-gpu.readthedocs.io/en/latest/api/generated/pylops_gpu.optimization.cg.cg.html#pylops_gpu.optimization.cg.cg

Have you tried these?

In any case, if you feel like adding a +1 to the pytorch issues linked above, maybe this will help the pytorch team prioritise these...

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