More Indicator sets about proximaloperators.jl HOT 5 CLOSED

I actually put directly the first two in a more optimized way...

What do you mean by "vector form"? You mean getting Array arguments rather than Hermitian or Symmetric ones?

from proximaloperators.jl.

The variables in MathProgBase corresponding to a SDP cone are represented in a single vector according to loadproblem! in the link in my original post. So to go from the vector to a Symmetric one would do something like

# Converts a vector representation of a symmetrix matrix.
# The off diagonal elements are assumed to be scaled by a factor of sqrt(2) in the input.
function vec2symmetric(x::AbstractVector)
  y = length(x)
  n = try
       Int(sqrt(1/4+2*y)-1/2)
  catch
       error("Invalid size of Symmetric matrix represented as vector")
  end
  A = zeros(n,n)
  for j = 1:n, i = j:n
    fac = (i==j ? 1.0 : 1.0/sqrt(2))
    A[i,j] = x[k]*fac
    k = k+1
  end
  return Symmetric(A, :L)
end

It would be nice if the projection could be done without explicitly constructing this matrix every time prox is called. In particular, there used to be a julia type SymmetricRFP and corresponding LAPACK commands to do operations on the vector form. I'm still trying to research if it is coming back or if there is a good alternative.

from proximaloperators.jl.

Great that you added Exp cones, that will be very useful for me! I created a PR #3 for SDP in packed matrix form, do what you want with it ;). Not sure why it failed in nightly v0.6

from proximaloperators.jl.

Last item (:SOCRotated, implemented by indRotatedSOC) solved by #13. Closing.

from proximaloperators.jl.

Great job! I'll definitely use this. I'm planning on releasing a package for first order methods that is using this, probably before summer. It would be nice with some input from you, so you have somewhere we could chat?

from proximaloperators.jl.