randn('state',0);
n = 10;
N = 1000;
tmp = randn(n);
L = tmp*tmp';
tmp = randn(n);
U = L + tmp*tmp';
R = (L+U)/2;
y_sample = sqrtm(R)*randn(n,N);
Y = cov(y_sample');
Ui = inv(U); Ui = 0.5*(Ui+Ui');
Li = inv(L); Li = 0.5*(Li+Li');
cvx_begin sdp
variable S(n,n) symmetric
maximize( log_det(S) - trace(S*Y) );
S >= Ui;
S <= Li;
cvx_end
R_hat = inv(S);
Successive approximation method to be employed.
sedumi will be called several times to refine the solution.
Original size: 357 variables, 234 equality constraints
1 exponentials add 8 variables, 5 equality constraints
-----------------------------------------------------------------
Cones | Errors |
Mov/Act | Centering Exp cone Poly cone | Status
--------+---------------------------------+---------
1/ 1 | 1.981e+00 2.907e-01 9.261e-08 | Solved
1/ 1 | 9.437e-02 6.354e-04 3.371e-07 | Solved
1/ 1 | 3.752e-03 1.347e-06 3.674e-07 | Solved
0/ 1 | 1.626e-04 3.727e-07 3.698e-07 | Solved
-----------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): -30.6698