I am using CVX through Matlab to solve an optimization problem. I am implementing a scheduling framework that solves multiple instances for the optimization problem before making an allocation decision. Unfortunately these instances are solved slowly. I was wondering if there are any general hints about how to increase the solver speed.
My objective function is a Max of a set of convex functions and all my constraints (equality and inequality) are affine.
Is most of the time spent between cvx_begin and cvx_end (during the model building process) or from cvx_end until the solver completes? If it’s the latter then there really isn’t anything to be done about it but try other solvers.