Re: Semidefinite programming in Mathematica
- To: mathgroup at smc.vnet.net
- Subject: [mg45160] Re: Semidefinite programming in Mathematica
- From: Matthias <no at spam.pls>
- Date: Fri, 19 Dec 2003 06:57:27 -0500 (EST)
- Organization: Rechenzentrum Uni-Mannheim
- References: <brci7r$2qe$1@smc.vnet.net> <brfuo6$fdb$1@smc.vnet.net> <brs5ib$im6$1@smc.vnet.net>
- Sender: owner-wri-mathgroup at wolfram.com
"Dirk" <dirk.scevenels at skynet.be> writes: > Hello Ron, > > Thanks for your response, although I must admit I do not understand it > completely... Are you saying that ANY of the implementations (say, in C) of > SDP algorithms are having this precision problem? > > I'm really not an expert in SDP, I just stumbled upon it in a paper where > these methods are used to fit a covariance matrix, and I would like to try > this method in Mathematica... > > So, does anybody know of Mathematica implementations? Or maybe using > MathLink to call some C algorithms of SDP? > > Thanks.... > > Dirk If you are working with real data it'll probably contain so much noise that the "precision problem" becomes a non-issue. A simple way to use SDP in Mathematica would be to install a solver on your system (e.g., csdp or dsdp are freely available). These solvers read SDP problems as text files and write their results in text files. So all you have to do is learn about the data format they use, write your SDP problem to disk, call the solver, read the result back into Mathematica. This isn't exactly beautiful, but chances are that it's relatively easy to get it to work.