Constraint violation

1

I am using CVX for solving this problem:

Minimize sum((x-y)'M(x-y)) + c *sum(cost)

Subject to

  1. (x-z)'M(x-z) – (x-y)'M(x-y) >= 1- cost

  2. cost>=0

  3. M >= 0

M is a positive semidefinite matrix, but CVX solution violates constraint #3. (M is not positive in solution)
Would you please let me know can CVX solve this problem? Or witch packages can solve it?

With regards,

RRF

2

You should post the exact model you’re using. Often people fail to properly specify semidefinite constraints. And even so, slight violations are to be expected from the numerical solvers.