Enforce a matrix to be positive semidefinite in JuMP

Specific Domains Optimization (Mathematical)
1

Hi All,

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!

2

Gurobi does not support PSD constraints, you should pick a solver from this table where there is SDP in the last column.

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