cvxpy: Cplex and Gurobi python interfaces very slow

Gurobi calls seem much slower than Mosek or OSQP. For example, in this script solving multiple QPs

import numpy as np
import scipy as sp
import scipy.sparse as sparse
from cvxpy import *
import time


def solve_problem(solver):
    start_time = time.time()
    x = Variable(n)
    gamma = Parameter(nonneg=True)
    objective = 0.5*sum_squares(A*x - b) + gamma*norm1(x)
    prob = Problem(Minimize(objective))

    # Solve problem for different values of gamma parameter
    avg_solve_time = 0
    for gamma_val in gammas:
        gamma.value = gamma_val
        prob.solve(solver=solver, warm_start=True)
        avg_solve_time += prob.solver_stats.solve_time/len(gammas)
    end_time = time.time()

    return end_time - start_time, avg_solve_time


if __name__ == "__main__":
    sp.random.seed(1)
    n = 100
    m = 1000
    A = sparse.random(m, n, density=0.5)
    x_true = np.multiply((np.random.rand(n) > 0.8).astype(float),
                         np.random.randn(n)) / np.sqrt(n)
    b = A.dot(x_true) + 0.5*np.random.randn(m)
    gammas = np.linspace(1, 10, 50)

    total_gurobi, solve_gurobi = solve_problem('GUROBI')
    total_mosek, solve_mosek = solve_problem('MOSEK')
    total_osqp, solve_osqp = solve_problem('OSQP')

    print("GUROBI: total: %.2e, solve: %.2e" % (total_gurobi, solve_gurobi))
    print("MOSEK: total: %.2e, solve: %.2e" % (total_mosek, solve_mosek))
    print("OSQP: total: %.2e, solve: %.2e" % (total_osqp, solve_osqp))

I get:

GUROBI: total: 1.48e+01, solve: 1.02e-01
MOSEK: total: 5.63e+00, solve: 5.29e-02
OSQP: total: 3.05e+00, solve: 5.66e-03

You can find the profiling results here profiling.prof.zip

I looks like the function solve_via_data is very slow.

@gglockner would you have any suggestion on how to speed up the Gurobi python call?