Questions tagged [semidefinite-programming]

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Obtainting KKT for QSDP for the trace inequality constraint

I am working on developing my own solver(for implementation on hardware), based on IPM for following problem: \begin{equation} \begin{split} \min_{X} \; \frac{1}{2}&\|X\|_F^2 + trace(CX)\\ \text{...
Mykola Servetnyk's user avatar
3 votes
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178 views

First order methods for a large scale semidefinite program

I am interested in solving the following semidefinite optimization problem: \begin{equation} \begin{split} \underset{X,\lambda}{\rm maximize} \;\;\;\;&\lambda^Tc \\ &-\mathbb{I} \le X \le \...
Marc's user avatar
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2 votes
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How to solve the following SDP with cvxpy in Python?

The SDP problem is $$ \min_{Z \in S^{n},Y \in S^{m}} {\rm trace}(Z) +{\rm trace}(Y)\\ {\rm s.t.} \begin{bmatrix} Y & X\\ X^T & Z \end{bmatrix} \succeq 0\\ X \in C $$ Where $C$ is a convex set....
Kim's user avatar
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2 votes
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Looking for a version of DSDP that is less prone to integer overflows than the original

I am working on a problem that involves semidefinite programming (constrained optimization of fairly large positive definite matrices). The software is written in C++ and calls DSDP 5.8 to solve the ...
András Aszódi's user avatar
1 vote
0 answers
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How to implement the following SDP with python

I'm confused about how one can implement a semi-definite programming routine with python. Apologies if similar questions have already been asked! What I could like is to optimize over probabilities $...
Kryptic89's user avatar
1 vote
0 answers
231 views

Sign or cardinality constraint when solving for sparse signal

I'm currently learning about using linear and semidefinite programming to find sparse solutions to problems. In particular, finding sparse solutions where the sampling functions are sinusoidal (...
geometrikal's user avatar
-1 votes
1 answer
30 views

Semi-Definite relaxation of non-linear constraint?

I am implementing an optimization problem using semi-definite approach. One of my constraints is of following form $ trace(A∗X)−(k∗trace(A∗X))+(k∗\sqrt {(trace(B∗X)} )==0$ where k is a constant, A ...
Muhammad Usman's user avatar