I am trying to solve, the following optimization problem using CVX
a_i'Xa_j = 0; for\, i = 1......n;
where A is a matrix of order m \times n with m>n and X is of size m \times m.
when I am running this problem of order, say, 4096 \times 4000, I am getting error “out of memory”.
The default solver I am using in CVX is SDPT3. I tried with other solvers too like SeDuMi and MoSek etc.
CVX can solver largescale problems? what kind of solver I need to use and what are system configurations need to solve fast.
Thank you so much for your time.