Hello Peter !

Sorry for my late answer, I am away from everything at the moment, and I am 
reduced to answer your message with a mobile phone :-)

I believe that this thing is slow because we did not inform the LP data 
structure (which we do not encode ourselves in Sage) or the problem's size. And 
I guess it does not like to never know how many constraints there will be, and 
I fear that it does a lot of useless copies when you add a constraint (perhaps 
it copies the whole matrix just to add one line ?).

In the solvers API you have a command to add many constraints at the same time 
(all set to zero) that you can fill later. This you do not add new rows, just 
fill some numbers. I guess this would probably solve your problem : you just 
need to add a function to allocate many useless rows at first (when you build 
the LP) instead of adding them one by one.

Nathann

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