sdpt3r (version 0.3)

lmi3: Linear Matrix Inequality 3

Description

lmi3 creates input for sqlp to solve a linear matrix inequality problem

Usage

lmi3(A, B, G)

Arguments

A

An nxn real valued matrix

B

An mxn real valued matrix

G

An nxn real valued matrix

Value

X

A list containing the solution matrix to the primal problem

y

A list containing the solution vector to the dual problem

Z

A list containing the solution matrix to the dual problem

pobj

The achieved value of the primary objective function

dobj

The achieved value of the dual objective function

Details

Solves the type-3 linear matrix inequality problem. Mathematical and implementation details can be found in the vignette

Examples

# NOT RUN {
A <- matrix(c(-1,0,1,0,-2,1,0,0,-1),3,3)
B <- matrix(c(1,2,3,4,5,6), 2, 3)
G <- matrix(1,3,3)

out <- lmi3(A,B,G)

# }