Semi-definite program

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LaTeX: \textstyle \min \{cx: S(x) \in P\}, where LaTeX: \mbox{P} is the class of positive semi-definite matrices, and LaTeX: \textstyle \mbox{S}(x) = S_0 + \sum_{j} x(j)S_j , where each LaTeX: \textstyle \mbox{S}_j, for LaTeX: \textstyle j = 0,\dots,n is a (given) symmetric matrix. This includes the linear program as a special case.


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