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I have an optimization problem where I have to optimize a function f(A) where A is a matrix(sparse).

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A = \begin{array}{cccc} A_1 & A_0 & A_0 & 0 \\ A_0 & A_2 & 0 & A_0 \\ A_0 & 0 & A_3 & A_0 \\ 0 & A_0 & A_0 & A_4 \\ \end{array}

A is a positive definite matrix and the variables are $A_i$. I want to optimize over these variables with the constraint that the matrix A is positive definite. Are there any softwares to help me out with this?

user34790
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2 Answers2

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The CVX software package for MATLAB can handle semidefinite prodramming problems (SDPs).

Ross B.
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There are plenty of packages for semidefinite programming (SDP). I have experience using CVXOPT and CVXPY python packages.

Also take a look at Peter Wittek's blog on well curated list of SDP solver packages for different versions of Python.

srihegde
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