CVX toolbox takes time in optimizing large dataset


I am trying to implement a semidefinite programming based algorithm in MATLAB using the cvx toolbox. The dataset here is quiet large having the size(200 X 11520) matrix. I want to optimize using this matrix over 200 iterations using sdp in cvx. The software however is taking around 10 minutes for each iteration.

I tried using gpuArray too but cvx is failing to minimize on gpuArrays.

Could you please suggest how I can use cvx on this matrix to get fast results?

Why do you think it should be possible to get fast results for a large SDP?

You can post some log output so that we know roughly what is going on.

You can also try different solvers and choose the fastest/best.