Is the substitution method expected to reduce the computation cost? We know it will reduce the number of variables and constraints.
I mean by substitution method is to eliminate the equality constraints when possible.
A simple illustrative example might be:
minimize z Subject to: z=x-2 0<x<1
This can be reduced to:
minimize x-2 Subject to: 0<x<1
When I use the substitution on a large problem, the computation time decreases if I use gurobipy but increases if I use CVXPY