I am trying to solve a matrix least square problem with constraints. The problem looks like
minimise ||Y1-Y2*P|| (Frobenius norm)
subject to P(i,j)>=0 for all i,j
row sum of P is 1.
Now P is a huge (say 2000 x 2000) matrix, and Y1 and Y2 both are about (25 x 2000) real valued matrix. The CVX is taking forever to even form the problem before passing it to the chosen solver (Gurobi for instance). Is there any way to speed up this front-end overhead here, like reformatting the problem somehow? Thanks in advance.