Linear programming with positive semi-definite matrices

J. B. Lasserre

Mathematical Problems in Engineering, 1996, vol. 2, 1-24

Abstract:

We consider the general linear programming problem over the cone of positive semi-definite matrices. We first provide a simple sufficient condition for existence of optimal solutions and absence of a duality gap without requiring existence of a strictly feasible solution. We then simply characterize the analogues of the standard concepts of linear programming, i.e., extreme points, basis, reduced cost, degeneracy, pivoting step as well as a Simplex-like algorithm.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:749783

DOI: 10.1155/S1024123X96000452

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