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.
A question for scaling
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.