I want to enforce a square matrix in my code (i.e. W) to be positive semidefinite. I am using Gurobi solver. I have added the following constraint in my code to fulfill the task.
@constraint (model, W in PSDcone())
Following is the error that I have got after running the code.
ERROR: LoadError: Constraints of type MathOptInterface.VectorOfVariables-in-MathOptInterface.PositiveSemidefiniteConeSquare are not supported by the solver and there are no bridges that can reformulate it into supported constraints.
I will appreciate it if you help me to debug my code! Thanks in advance!