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<body class='hmmessage'><div dir='ltr'>Hi all,<div><br></div><div>We are trying to use Csdp to solve a programming problem.</div><div> min(Sigma - X)</div><div>s.t.</div><div> X is a diagonal matrix</div><div> (Sigma - X ) >= 0, positive definite</div><div><br></div><div>Where Sigma is a known covariance matrix of several random variables.</div><div>We have problems when trying to add "X is a diagonal matrix" constraint.</div><div><br></div><div>Thank you all.</div><div><br></div><div>Bests,</div><div>Jingyu He</div> </div></body>
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