I have a large problem defined in CVXPY modelling language. I want to solve series of this problems - still the same format but with different parameters (constants).
I found out that after calling problem.solve() internal problem generating takes 20 s and main optimization runtime takes 0.2 s. It's a lot of time when I want to solve dozens of similar problems.
Is there any tool for CVXPY like YALMIP optimizer or any possibility to reduce problem generating time?