[Csdp] SDP formulation

anass anass.mouhsine at gmail.com
Tue Jul 26 10:22:54 EDT 2011


Greetings,

I am trying to solve a semidefinite relaxation for a sparse generalized
eigenvalue problem using csdp via R ( package Rcsdp courtesy of Hector
Corrada).

the program is the following, which is in the variables X and z (z in R+)

maximize      Tr(AX)
subject to      norm(X) - kz <= 0           where norm is 1-norm
                    Tr(X) - z =0
                    Tr(BX) = 1
                    X>=0

I would like to know how to formulate this program in the adequate csdp
format in order to solve it.

thank you for your help

regards,
Anass
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