[mlpack-git] [mlpack] SDP should have a more general linear operator constraint (#401)

Stephen Tu notifications at github.com
Tue Feb 10 14:54:33 EST 2015

Our SDP abstraction right now only supports sparse and dense matrices. This is sufficiently general, but for some certain classes of constraints, quite suboptimal. 

As an example, suppose I want to have the constraint that the sum of all elements in the matrix is constant. While we can express this as `Tr((11^T) * X) = b`, this is quite inefficient to evaluate for something that could be expressed as `X.sum()`. 

Hence, it would be desirable to have a third type of constraint, "linearOperator", which is just a linear function which takes symmetric matrices to real numbers. The straightforward way to implement this would be a vector of `std::function` objects. 

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