Hi there,
I was wondering if you let me know if there is a bound on the number of constraints that CVX can handle that? For example is it possible to solve an optimization problem with 10^8 or 10^9 or 10^12 constraints?
And if yes, is there an estimated time to do that? Is there any document or report including such data?
All the best
Given the limited information you provide I think the answer is that maybe it is possible.
I don’t think CVX has any intrinsic limits (unless they are so huge, they couldn’t possibly be the limiting factor with currently available hardware). It will generally come down to whether sufficient memory is available, and whether you are willing to wait until completion (if there binary or integer variables, that might be beyond the time fat which the sun “terminates”).
You could encounter memory or run time issues in CVX model generation or in solver execution. AS for 10^12, or even 10^9, constraints, your prospects of success might not be high, unless you are using the highest end hardware. 10^8 might not be a piece of cake, either.
You might want to look at https://groups.google.com/g/yalmip/c/ShclQi8eU94