I’m currently solving a fairly large problem (287133 SeDuMi variables and 73678), which takes a few minutes to “compile”.
I want to solve 3000 of these, all with the same structure, and I would have expected there to be a way to pre-compile the problem and simply insert the different values into the constraints. However, a little searching hasn’t shown a way to do that.
Could someone please confirm that this is not possible? If it isn’t, is there a “wish list” that this could be added to?