sdpt3r

Solves the general Semi-Definite Linear Programming formulation using an R implementation of SDPT3 (K.C. Toh, M.J. Todd, and R.H. Tutuncu (1999) doi:10.1080/10556789908805762). This includes problems such as the nearest correlation matrix problem (Higham (2002) doi:10.1093/imanum/22.3.329), D-optimal experimental design (Smith (1918) doi:10.2307/2331929), Distance Weighted Discrimination (Marron and Todd (2012) doi:10.1198/016214507000001120), as well as graph theory problems including the maximum cut problem. Technical details surrounding SDPT3 can be found in R.H Tutuncu, K.C. Toh, and M.J. Todd (2003) doi:10.1007/s10107-002-0347-5.