Would you switch to QR as referred in the "Tip for Speed-up" in mincx? -------------------------------------------------------------------------------------
In LMI optimization, the computational overhead per iteration mostly comes from solving a least-squares problem of the form
where x is the vector of decision variables. Two methods are used to solve this problem: Cholesky factorization of
(default), and QR factorization of A when the normal equation becomes ill conditioned (when close to the solution typically). The message * switching to QR
is displayed when the solver has to switch to the QR mode.
Since QR factorization is incrementally more expensive in most problems, it is sometimes desirable to prevent switching to QR. This is done by setting options(4) = 1. While not guaranteed to produce the optimal value, this generally achieves a good trade-off between speed and accuracy.
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