Problem in solving a SDP question

Indeed, A1 and A2 have entries having a very wide range of magnitudes, and the 2-norm condition numbers of A1 and A2 are respectively 8e15 and 1e17, which are very large, and make double precision calculations rather unreliable. Are your order e-5 and e-6 entries “legitimate”, and not “rightly” zero?

Both your two and three constraint problems appear to be infeasible in my efforts. But such determination may be unreliable due to the horrible numerics in A1 and A2. If you are really stuck with these matrices, your only only hope might be going to higher precision - you can take a look at Quadruple Precision .