Finding the best weights of the state variables and the control variables in the objective function of a linear-quadratic control problem is considered. The weights of these variables are considered as two diagonal matrices with appropriate size and so the objective function of the control problem becomes a function of the diagonal elements of these matrices. The optimization problem which is d...

Memory is a key computational bottleneck when solving large-scale convex optimization problems, such as semidefinite programs (SDPs). In this paper, we focus on the regime in which storing an $n\times n$ matrix decision variable prohibitive. To solve SDPs regime, develop randomized algorithm that returns random vector whose covariance near-feasible and near-optimal for SDP. We show how to by mo...