Add CI runner that builds with external UMFPACK on MinGW. #510
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Add a runner to the CI that builds against an external version of the UMFPACK library.
This is mostly to check whether the CMake rules are correctly set up to configure and build against external versions of that library.
I chose an MSYS2 runner for that configuration because it uses a rolling release model and usually updates to a newer version of packages faster than Ubuntu. That way, potentially breaking changes from upstream might be caught earlier.