I have the following problem:
cvx_begin sdp variable X(n,n); dual variable Lambda; dual variable gamma; maximize trace(A*X) X >= 0 : Lambda; X(:) >= 0 : gamma; (other conditions) cvx_end
The optimal value of the dual variable Lambda turns out to be not symmetric. It is blatantly so, not just within numerical errors. Shouldn’t the dual variable associated with a PSD constraint be itself PSD (and hence symmetric)?