myproblem1
eta = [0.03; 0.03; 0.03; 0.03; 0.03; 0.03; 0.03; 0.03; 0.03; 0.03; ...
0.03; 0.03; 0.03; 0.03; 0.06; 0.06; 0.06; 0.06; 0.06; 0.06; ...
0.06; 0.06; 0.06; 0.06; 0.06; 0.06; 0.06; 0.06; 0.3; 0.3; 0.3; ...
0.3; 0.3; 0.3; 0.3; 0.3; 0.3; 0.3; 0.3; 0.3; 0.06; 0.06; 0.06; ...
0.06; 0.03; 0.03; 0.03; 0.03];
I = eye(48);v1 = ones(48,1);v0 = zeros(48,1);m0 = zeros(48,48);delta = 0.5;
t = ones(48);
w = 1; T = delta*tril(t);
Dbar = [0.6257; 0.3301; 0.5974; 0.5713; 0.3849; 0.3559; 0.5175; 0.4597; ...
0.5437; 0.3759; 0.7033; 0.622; 0.3774; 0.5164; 0.314852; 0.878052; ...
0.263379; -0.082852; -0.200377; -0.421854; -0.594954; -0.571881; ...
-0.663856; -0.769529; -0.744304; -0.668006; -0.694656; -0.539479; ...
-0.215531; 0.025592; 0.267942; 0.092242; 0.169571; 0.207742; ...
0.330148; 0.233; 0.473529; 1.065802; 0.9228; 1.0381; 1.0339; ...
0.8007; 0.6873; 0.7936; 1.0575; 0.5244; 0.7084; 0.5883];
C= 10; chi = 6;
Cmax = (chi/delta)*v1;
Cmin = (1/delta)*(C-chi)*v1;
Bmax = 0.6*C; Bmin = -0.6*C;
%% For H matrix
h = diag(eta');
H = [m0 m0;m0 -h];
%% For c matrix
c = w*delta*[eta; v0];
%% Lower Bounds
lb = -10*ones(96,1);
lb (1:48) = Bmin;
%% Upper Bounds
ub = 10*ones(96,1);
ub (1:48) = Bmax;
%% Linear Inequalities
A1 = [I m0;-I m0;T m0;-T m0];
b1 = [Bmax*v1' Bmin*v1' Cmin' Cmax']';
%% Linear Equalities
A2 = [v1' v0';I I];
b2 = [0; Dbar];
%% The objective function
cvx_begin
cvx_precision high
variable x(96,1);
dual variables y z
maximize(quad_form(x,H)+c'*x);
subject to
y: A1*x <=b1;
z: A2*x ==b2;
cvx_end
Calling SDPT3 4.0: 291 variables, 49 equality constraints
For improved efficiency, SDPT3 is solving the dual problem.
num. of constraints = 49
dim. of socp var = 98, num. of socp blk = 1
dim. of linear var = 192
dim. of free var = 1
96 linear variables from unrestricted variable.
*** convert ublk to lblk
SDPT3: Infeasible path-following algorithms
version predcorr gam expon scale_data
NT 1 0.000 1 0
it pstep dstep pinfeas dinfeas gap prim-obj dual-obj cputime
0|0.000|0.000|6.1e+00|9.3e+00|2.5e+06| 1.619537e+04 0.000000e+00| 0:0:00| chol 1 1
1|0.998|0.927|1.3e-02|6.8e-01|1.3e+05| 7.423176e+03 -1.848562e+01| 0:0:00| chol 1 1
2|0.430|0.172|7.6e-03|5.7e-01|1.2e+05|-1.266757e+05 -4.529696e+01| 0:0:00| chol 1 1
3|0.520|0.067|3.7e-03|5.3e-01|7.3e+05|-6.651689e+06 -6.240615e+01| 0:0:00| chol 1 1
4|0.182|0.077|3.1e-03|4.9e-01|1.0e+07|-1.656263e+08 -1.886036e+02| 0:0:00| chol 1 1
5|0.041|0.052|3.0e-03|4.6e-01|1.2e+08|-2.188198e+09 -1.450873e+03| 0:0:00| chol 1 2
6|0.043|0.048|2.9e-03|4.4e-01|2.0e+09|-3.575164e+10 -1.316936e+04| 0:0:00| chol 1 2
7|0.018|0.047|2.8e-03|4.2e-01|1.5e+10|-2.672094e+11 -2.178849e+05| 0:0:00| chol 1 2
8|0.073|0.047|2.7e-03|4.0e-01|4.1e+11|-7.322074e+12 -1.542518e+06| 0:0:00| chol 2 2
9|0.008|0.047|2.7e-03|3.8e-01|1.6e+12|-2.816550e+13 -4.967044e+07| 0:0:00| chol 2 2
10|0.354|0.047|8.6e-03|3.7e-01|2.0e+14|-3.648722e+15 -1.785701e+08| 0:0:00| chol 2 2
11|0.002|0.047|2.2e-02|3.5e-01|3.1e+14|-5.667451e+15 -4.022820e+10| 0:0:00| chol 2 2
stop: primal infeas has deteriorated too much, 3.2e+00
12|1.000|0.047|2.2e-02|3.5e-01|3.1e+14|-5.667451e+15 -4.022820e+10| 0:0:00|
prim_inf,dual_inf,relgap = 2.17e-02, 3.49e-01, 5.54e-02
sqlp stop: dual problem is suspected of being infeasible
number of iterations = 12
residual of dual infeasibility
certificate X = 1.00e-16
reldist to infeas. <= 1.47e-16
Total CPU time (secs) = 0.20
CPU time per iteration = 0.02
termination code = 2
DIMACS: 2.8e-02 0.0e+00 1.1e+00 0.0e+00 -1.0e+00 5.5e-02
Status: Infeasible
Optimal value (cvx_optval): -Inf
echo off