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Sep 18, 2013 at 21:14 comment added Peter Shor It needn't actually double the number of constraints; you can replace the inequality $\lambda_i \geq 0$ by $\lambda_i - x \geq 0$, to get the same number of constraints and one more variable. I expect you'll still take a performance hit, but less of one.
Sep 18, 2013 at 4:06 comment added Igor Rivin Although, since this procedure doubles the number of constraints, this is quite a considerable performance hit (much better than what I suggested in the question, but still...)
Sep 17, 2013 at 20:45 vote accept Igor Rivin
Sep 17, 2013 at 20:45 comment added Igor Rivin I knew I was missing something obvious :(
Sep 17, 2013 at 20:17 history answered Peter Shor CC BY-SA 3.0