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 `Gurobi.jl`

/ `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?