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MCPSD

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This is a translation of the mc_psd.m MATLAB function written by Franz Rendl. A preliminary version of this MATLAB function also appears in Section 7 of [HRVW96].

[HRVW96] Helmberg, Christoph, Franz Rendl, Robert J. Vanderbei, and Henry Wolkowicz. "An interior-point method for semidefinite programming." SIAM Journal on Optimization 6, no. 2 (1996): 342-361.

The solver can be used with JuMP as follows:

using PCPSD, JuMP
model = direct_model(MCPSD.Optimizer())
x = @variable(model, [1:10] in MCPSD.Elliptope(5))
@objective(model, Min, x[1] + x[3] + x[6] + x[7] + x[8] + x[10])
optimize!(model)
value.(x)