To assist with formulating a JuMP model for an SDP, I need to create affine expressions
y (then the objectives and constraints can be cheaply constructed by getindex into
F = qr(m::SparseMatrixCSC) # call to SuiteSparse.SparseQR r = rank(F) cols = @view F.Q[:,1:r] model = JuMP.Model() @variable(model, z[1:r]) @expression(model, y, cols * z) # omitted: objective, constraints...
The size of cols is
(172410, 1107) for a small instance and around
(10_000_000,100_000) for a larger one. How can I speed up the creation of these expressions?