Large scale optimization problem

Hi,

I have linear optimization problem with up to 10^6 - 10^8 optimized variables and up to 10^6. Does anyone have experience if this large scale problem (the best solved as mixed integer linear problem) can be still solved using Matlab, optimization package?

Thanks a lot in advance for your advice,

Barbora

[Joachim Schlosser]

Regardless of whether the computation time would be in favor or not: What kind of optimization is this? And what measures have you taken to reduce complexity?

Before tackling a complex problem, first see on how to reduce complexity.

[Pushkar Khatri]

What if it's a convex optimization problem with the variable x a matrix of around 500x500 size? I'm trying to solve it using interior-point/sqp algorithm but it's taking forever to return the output. But it seems to work well for quite smaller sized matrices. What should i do? (the problem doesn't have a gradient situation)