SDLS: a Matlab package for solving conic least-squares problems
Abstract
This document is an introduction to the Matlab package SDLS (Semi-Definite Least-Squares) for solving least-squares problems over convex symmetric cones. The package is shortly presented through the addressed problem, a sketch of the implemented algorithm, the syntax and calling sequences, a simple numerical example and some more advanced features. The implemented method consists in solving the dual problem with a quasi-Newton algorithm. We note that SDLS is not the most competitive implementation of this algorithm: efficient, robust, commercial implementations are available (contact the authors). Our main goal with this Matlab SDLS package is to provide a simple, user-friendly software for solving and experimenting with semidefinite least-squares problems. Up to our knowledge, no such freeware exists at this date.
Cite
@article{arxiv.0709.2556,
title = {SDLS: a Matlab package for solving conic least-squares problems},
author = {Didier Henrion and Jerome Malick},
journal= {arXiv preprint arXiv:0709.2556},
year = {2007}
}