We have a large-scale MIQCQP problem. Problem size:
Decision vars: ~9K (with 3K continuous and 6K integral vars)
Objective: 1 Linear expression
Constraints (linear): 35K linear constraints (9K lower bound + 9K upper bound + remaining inequality constraints)
Constraints (Quadratic): 1 quad constraint (with Q matrix size as 3K*3K, which is PSD)
When we use Mosek (via Cvxpy), it runs indefinitely (in the branch & bound logic). Moreover, from the mosek logs: BEST_INT_OBJ and REL_GAP(%) are displayed NA throughout.
Since this problem contains proprietary data, its difficult to share it.
Are there any general tips or tricks to speed up the problem?
(Weirdly, Gurobi can solve the same problem in less then a minute)