I am trying to transform a LMI problem of the following form:
$ min_x \quad c^Tx \\ s.t. \quad x_1A_1+\dots+x_nA_n \preceq R$
into another SDP formulation:
$ min_x \quad c^Tx \\ s.t. \quad Ax = b, \quad X \preceq 0$
where x=vec(X) obtained by stacking the columns of X. Thank you!
Initial Idea:
- Introduce slack variable S.
- Replace LMI constraint by:
$ x_1A_1+\dots+x_nA_n - R = S, \quad S \preceq 0$
- Augment the decision variable x --> $\tilde{x}=[x,s]^T$.
- Replace c by $\tilde{c}=[c,0]^T$.
But then I dont know how to continue.