Rdsdp: R interface to DSDP semidefinite programming library

Description References

Description

Rdsdp is the R package providing a R interface to DSDP semidefinite programming library. The DSDP package implements a dual-scaling algorithm to find solutions (X, y) to linear and semidefinite optimization problems of the form

inf tr(CX)

subject to AX = b

X >= 0

with (AX)_i = tr(A_iX) where X >= 0 means X is positive semidefinite, C and all A_i are symmetric matrices of the same size and b is a vector of length m.

The dual of the problem is

sup b'y

subject to A'y + S = C

S >= 0

where A'y = ∑_{i=1}^m y_i A_i.

Matrices C and A_i are assumed to be block diagonal structured, and must be specified that way (see Details).

References


Rdsdp documentation built on March 26, 2020, 5:32 p.m.

Related to Rdsdp in Rdsdp...