Hello everyone,
I have a quick question about scaling in cvx. Now, I want to solve the constraint of LMIs, but I found the numerical values vary significantly in magnitude (e.g., some entries are in the order of 1e-9 while others are Identity Matrix). How can I keep the numerical stability in the solver (I am using CVX 2.2 with Mosek 9.1.9)?
Thanks all.
Are those the numerical values of inputs, or of outputs? If of outputs, it may be that the 1e-9 numbers are “actually” zero.
As for the inputs, your description is too vague. Is the Identity matrix the Identity matrix, regardless of what units are chosen for the input data/ if so, try to change the units of input data so that the 1e-9 elements, and all other input data, are within a small number of orders of magnitude of 1
You can look at 7 Practical optimization — MOSEK Modeling Cookbook 3.3.0 for some advice about scaling.