SDP problem

[shiku...@gmail.com]

Hi guys,

I'm struggling with the cvxopt.solvers.sdp format.

the optimization problem is

Maximize trace(K)

subject to (a) K>=0     semidefinite matrix

                 (b) sum(Kij)=0   for all i,j 

                 (c) Kii -2*Kij +Kjj = Dij    for all i,j such that Nij==1

K is variable , D and N are known matrixes.

I read the documentation for a long time but can not figure it out. Hope any one can teach me how to code this part. Or give me some similar example that I can learn.

I tried to use cvxpy to modeling, but I get error:

FATAL: Cannot solve SDPs with > 2x2 matrices without linked blas+lapack libraries
Install blas+lapack and re-compile SCS with blas+lapack libray locations
ERROR: initCone failure
Failure:could not initialize work

Thanks a lot.

Kunyu

[Martin]

CVXPY allows you to choose a solver (http://www.cvxpy.org/en/latest/tutorial/advanced/). If you already have CVXOPT installed, you could try with CVXOPT instead of SCS.

[YU Hefei]

Thanks Martin, it works