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

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Wei Lin

2022年01月05日 07:49

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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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  Simranjit Kaur

  • Gurobi Staff

  2025年11月16日 23:46

  This post is more than three years old. Some information may not be up to date. For current information, please check the Gurobi Documentation or Knowledge Base. If you need more help, please create a new post in the community forum, or try Gurobot, our chatbot interface offering instant, expert-level support.
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  Silke Horn

  • Gurobi Staff

  2022年01月05日 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

  2022年01月05日 08:36

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  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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