Hello. I'm trying to formulate a big MILP with more than 100k rows and 100k columns. I've already implemented matrix form for variables (using addMVar) and constants but it's taking relatively long time to construct variables and constraints.
Is there a way to use multithreading like pool map to speed up the variable and constraint construction process? For example creating slices of MVars with multithreading and then concatenating them together?
Thanks in advance!
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