cvxopt/cvxopt — pull request #9 by SteveDiamond (2013-10-24 03:08:35+00:00)
Title: Handling low rank KKT systems with regularized LDL solver

I've been using this regularized LDL KKT solver in cvxpy, and it's been working perfectly. It's exactly the same as your LDL solver except I added epsilon regularization. It wasn't even necessary to do iterative refinement. The iterative refinement cvxopt already does was sufficient.

I'm sure there's a better way to choose the regularization epsilon, and I don't know if there's some reason to avoid the LDL solver. But the regularized LDL does seem to solve low rank KKT systems reliably. Would it be possible to include a regularized solver like this in cvxopt so conelp etc. can handle low rank systems?