Install Mellanox CLI tools (MFT)
http://www.mellanox.com/page/management_tools

#URL=https://www.mellanox.com/downloads/MFT/mft-4.15.0-104-x86_64-deb.tgz
URL=https://www.mellanox.com/downloads/MFT/mft-4.16.3-12-x86_64-deb.tgz

# install requirements
apt update
apt install -y gcc make dkms linux-headers-$(uname -r)

# download mft
wget -qO- ${URL} | tar xvz -C /tmp

# install mft
/tmp/mft-*-deb/install.sh

Enable UEFI and PXE boot

mst start
#for MST in $(ls /dev/mst/* | egrep -v '\.1'); do
for MST in $(ls /dev/mst/*); do
    echo ${MST}
    mlxconfig -d ${MST} -y set EXP_ROM_UEFI_x86_ENABLE=1
    mlxconfig -d ${MST} -y set EXP_ROM_PXE_ENABLE=1
    mlxconfig -d ${MST} q | egrep "EXP_ROM"
done

Debug: Show device state

mst status

for MST in $(ls /dev/mst/*); do
    mlxconfig -d ${MST} q
    echo
done