Convex.jl for SDP

Specific Domains Optimization (Mathematical)
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2

To include SDP constraint, I needed to the following change, which is basically:

  1. constructing matrix via vcat and hcat
  2. appropriate clarification of matrix dimension (not \epsilon * I but epsilon for this case)
    tmp = vcat(hcat((A*P + P*A' + b*y' + y*b' + ϵ*D*P*D' + μ*P), y), hcat(y', -ϵ))
    prob = minimize(
                    -eigmin(P),
                    isposdef(-tmp),
                   )

Note: this “seems” to be solved but the values are different from the reported ones in the reference.

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