When Gurobi can implement algorithms for SDP, especially for larger-scale matrix ?

Answered

Wei Lin

• January 05, 2022 07:49

Recently I face a question when I am doing my research. 

I have a 16th-order symmetric matrix whose entries is linear combination of many unknown parameters.

All I need to do is to minimize one of unknown parameters while keeping a 16th-order matrix semidefinite (non-negative).

When the order of matrix is below 14, I could use MOSEK, CSDP, DSDP to solve.

However if the order of matrix is beyond 14, those methods are invaild. 

I heard one of my friend in Peking University that Gurobi is best solver in optimization.

But Gurobi doesnot provide the SDP algorithms....(so sad...)

So Please, When Gurobi can implement algorithms for SDP, especially for larger-scale matrix ?

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• 

  Silke Horn

  Gurobi Staff

  • January 05, 2022 08:22

  Hi,

  You are right that Gurobi currently does not provide any SDP algorithms. Our development team is considering this feature, but we cannot make any promises.

  Have you looked at the SDP plugin of the open-source solver SCIP?

  Best regards
  Silke

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  Wei Lin

  • January 05, 2022 08:36

  

  

  

  Hi,

  Thank you for your attention.  

  Hope we can use SDP algorithms in Gurobi.

  SCIP, Yes, I had tried, but fail.  But also thanks your suggestion.

  Best regards,

  Wei

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