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)?