Solving a Convex Quadratic Program Using Gurobi & Mosek

[ericphanson]

@mtanneau

This implies computing a factorization of the objective matrix, which can be costly.
cc @ericphanson: I strongly suspect part of the reason is this line , which will end up computing a dense cholesky factorization

Just to update the thread, @mtanneau kindly updated Convex to use a sparse factorization when possible (Use sparse symmetric factorization when possible by mtanneau · Pull Request #457 · jump-dev/Convex.jl · GitHub) and I added an assume_psd=false argument to allow users to opt-out of the check altogether. Both are in Convex v0.14.15 which should be out shortly (New version: Convex v0.14.15 by JuliaRegistrator · Pull Request #44875 · JuliaRegistries/General · GitHub).