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I want to check if a given PSD matrix, say A, is contained in the convex hull of a set of PSD matrices, say Set={S_i, i:1..N}. In other word I want to check whether there exist real constants lambda_i such that:

1) sum_over_i{ lambda_i*S_i } - A >=0, where >=0 in this equation means that the matrix on the left is PSD;

2) sum_over_i{ lambda_i }=1

3) lambda_i>=0 for all i

Let me know if you know how to solve this pb...

Thanks,

Bastien

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# Convex hull of PSD matrices

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