I would like to solve the following Quadratic Program / Quadratic Programming:
The matrix P is a Positive Definite matrix. It is a sparse matrix of size
40_000 x 40_000.
I tried solving it using
Convex.jl but it failed with
Out of Memory (See Massive RAM for moderate problem · Issue #254 · jump-dev/Convex.jl · GitHub) at the problem formulation phase (I have
32 GB so it might be memory is not properly handled).
I would like to solve it with
Mosek.jl using the direct interface.
Does anyone have a sample code for this?
Whta about formulation using
JuMP.jl? Will it also have large overhead?