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mlpack / ensmallen

A header-only C++ library for numerical optimization --
http://ensmallen.org
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SDP should deal with linearly dependent constraints somehow #71

Open rcurtin opened 5 years ago

rcurtin commented 5 years ago

This is a port of mlpack/mlpack#404. There are some more details there. Here is the original description from @stephentu:

we need some strategy for dealing w/ a linearly dependent set of constraints. for LR-SDP, this isn't so big of a deal. but, this is especially key for the primal dual methods, which require this assumption so that various linear systems have unique solutions. we could either introduce a method which removes redundant constraints, or adapt the primal-dual method to handle degenerate linear systems.

note that, if we want the MVU SDP to work, then this will be necessary

mlpack-bot[bot] commented 5 years ago

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