[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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