[Csdp] How to add diagonal constrain to Csdp?

[Jingyu He]

Hi all,
We are trying to use Csdp to solve a programming problem.     min(Sigma - X)s.t.     X is a diagonal matrix     (Sigma - X ) >= 0, positive definite
Where Sigma is a known covariance matrix of several random variables.We have problems when trying to add "X is a diagonal matrix" constraint.
Thank you all.
Bests,Jingyu He 		 	   		  
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