Optimizing in a Loop
Convex uses a module-level dictionary to store the conic forms of every variable and expression created in the same Julia session. These variables and expressions persist even after they are out of scope. If you create large numbers of variables inside a loop, this dictionary can eat a considerable amount of memory.
To flush the memory, you can call
This will remove every variable and expression you've formed before from the memory cache, so that you're starting as fresh as if you'd just reimported Convex.
Better yet, take advantage of this cache of variables and expressions! Create variables and expressions outside the loop, and reuse them inside the loop as you tweak parameters. Doing this will allow Convex to reuse the conic forms it has already calculated for previously used expressions.
For example, the following bad code will create a new instance of a variable
and of the expression
square(x) for each value of
Don't do this:
for i=1:10 x = Variable() p = minimize(square(x), x >= i) solve!(p) end
Contrast this with the following good code, which
will reuse the cached conic form for
square(x) for each
reducing the memory footprint and speeding up the computation.
Do this instead:
x = Variable() obj = square(x) for i=1:10 p = minimize(obj, x >= i) solve!(p) end
Warmstarts, Parameters, Fixing and Freeing Variables
If you're solving many problems of the same form, or many similar problems, you may also want to use warmstarts, or to dynamically fix and free variables. The former is particularly good for a family of problems related by a parameter; the latter allows for easy implementation of alternating minimization for nonconvex problems. See the Advanced Features section of the documentation for more information.