Improve performance of a code with very large % of Garbage Collection

[odow]

Just to clarify:

• You want to optimize using NLopt:
  • A function myfunc_floops
    • That calls f1 which repeatedly calls f2
      • Which formulates and solves an optimization model using Mosek.

That’s going to involve a lot of calls to f1, which creates and destroys a lot of JuMP models. That’s the reason for your GC issue.

As recommended here:

Performance of Computation of Expectation of slow function

Hi! I am trying to optimize this section of code. Basically, there are two functions. The first one solves a linear programming problem over a convex set. The second function computes a Monte Carlo experiment over S trials of the first function. I can see how the second function can be easy to parallelize, however, this tidbit is part of a larger loop which I am parallelizing. Any help would be very much appreciated!! using JuMP, LinearAlgebra, Random, Distributions, BenchmarkTools, MosekTools …

did you try creating a single JuMP model and calling fix on it?

Have you tried creating a single large JuMP model instead of the loop over z[:,s]? You could potentially find all solutions for Simul simultaneously a single large Mosek model.