I am working on a convex optimization problem that needs to define several (e.g. 5) symmetric matrices as variables. I was wondering if it is possible to define those variables with a single line like @variable(m, x(N,N,M), Symmetric), where N is the dimension of the matrix, and M is the number of c…

This is not yet possible in JuMP, you need to do x = Array{JuMP.VariableRef}(undef, N, N, M) for i in 1:M x[:, :, i] = @variable(m, [1:N, 1:N], Symmetric) end or do x = [@variable(m, [1:N, 1:N], Symmetric) for i in 1:M]

3D variable in JuMP

Specific Domains Optimization (Mathematical)

g001234 October 29, 2019, 11:45pm 5

Now it works. In this case the ith matrix is accessed by x[:,:,i].

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3D variable in JuMP

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