Work on memory allocations about proxsuite HOT 3 OPEN

Note that currently, the pipeline [conda:macos-latest:Debug:c++17] is running with the option CHECK_RUNTIME_MALLOC which fails for several tests, meaning we still have eigen memory allocation in the dense solver. To not block PRs, this pipeline is allowed to fail in #117 .

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The allocations here and here can be avoided by using again layzProduct instead of the operator*.

In our unittests, memory alloctions happen just above a dimension of the problem. A check with the proxqp_benchmark shows that a small speedup (2-5%) could be achieved by using layzProduct instead of the operator* for small size problems, while a great loss in performance is observed for bigger problems. We should maybe allow some dynamic memory allocation and let Eigen handle it under the hood how to treat different sizes.

from proxsuite.

Could this be an option for the user?

In massive multi-threaded environments, memory allocations can cause a huge performance drop as they often block other threads from allocating memory at the same time.
Hard-real time/embedded applications may also find some difficulties as the computation time may no longer be deterministic.

from proxsuite.