[mlpack] maximum problem size for PrimalDualSolver?

[Joe Dinius]

Hello,

I have setup a (sparse) SDP problem where the solution is 289x289 with 67
sparse constraints.  When trying to solve this problem with the ensmallen
PrimalDualSolver, I receive the following error message:

error: arma::memory::acquire(): out of memory
unknown location(0): fatal error in "sdp_nominal_test": std::bad_alloc:
std::bad_alloc

It appears that my problem is consuming too much memory which makes me
wonder:  How big a problem can the PrimalDualSolver handle?  Has such a
benchmark been established?

As a bonus:  Is there any way to solve this problem?  Preliminary web
searches give me little hope of a simple solution, but I am hopeful that
there is something that someone on this list can point out.

Here is my system configuration:
Host OS: Linux 18.04 (though the application is running inside of a docker
container based on 16.04)
RAM: 16GB
Processor: Intel Core i7-8750H CPU @ 2.20GHz × 12

Many thanks,

-Joe Dinius
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