I am trying to do a L1 minimization problem using cvx, but the dimension is high, which is 11848. I am trying to do that in a server, but 30-40 G of RAM is insufficient. Actually I need to do this minimization more than 10000 times. Anyone has any suggestions? Thanks a lot!
I’m afraid not. You might need to formulate your problem directly in your preferred solver to see if that helps. MATLAB itself might also be contributing to the memory inefficiency. MOSEK and Gurobi can be called outside of MATLAB, which may help.