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?