I went googling for some examples of quadratic programming done in Mata, and stumbled across a fairly recent Statalist discussion. The original question is here and the official response, typically prompt, is here. I tested Patrick Roland's code on my own machine (2011 MacBook Pro Core2 i5) but with Octave instead of MATLAB, and with R in addition. Octave took about 2 seconds. My R code is 


system.time(chol2inv(matrix(rnorm(2000^2),2000,2000)))

This took about 4 seconds to run, whether in RStudio or in command-line R 2.15.1. Mata, meanwhile, still takes about 30 seconds. I run Stata 12MP, all up to date. I'd be curious how SAS/IML does. I don't have it.