Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 339 / 1 / h

For $X$ in the dual cone $C$, copositivity of $Q-\lambda I$ gives $⟨X,Q-\lambda I{⟩}_F\ge 0$. An upper-bounding Lagrangian for the maximization is thereforeIts supremum over unrestricted $\lambda$ is finite precisely when $\mathrm{tr}X=1$. Minimizing that upper bound gives the conic programThis is completely positive optimization, not simply semidefinite programming: $C$ is the completely positive cone.

There is also a direct equality certificate. Every feasible $X={\sum }_j{u}_j{u}_j^T$, $u_j\ge 0$, has ${\sum }_j\Vert u_j{\Vert }_2^2=1$. Its objective is a weighted average of the nonnegative-sphere Rayleigh quotients, hence is at least $\alpha$. For a minimizing unit vector $x_{\ast }$ from part (g), $X_{\ast }=x_{\ast }{x}_{\ast }^T$ is feasible and has objective $\alpha$. Thus $\boxed{X_{\ast }=x_{\ast }{x}_{\ast }^T}$ attains the dual and both values agree, without relying on unverified regularity assumptions.