1-by-1 matrix PSD constraint

[thinh-le]

using JuMP, MosekTools

m = JuMP.Model(Mosek.Optimizer)
@variable(m, x)
@objective(m, Min, 1+x)
M = reshape([x],1,1)
@constraint(m, M in PSDCone())
optimize!(m)

ERROR: Invalid dimension for semidefinite constraint, got 1 which is smaller than the minimum dimension 2.
Stacktrace:

This can be fixed at the level of JuMP, for example:

length(M) == 1 ? @constraint(m, M[1,1] >= 0) : @constraint(m, M in PSDCone())

but perhaps a fix with MosekTools would give better user experience?

[ulfworsoe]

A one-dimensional PSD cone is just a linear variable, so it should be a valid construction. I'll see about fixing it in MosekTools.