Our algorithms can start with an infeasible starting point.
However, the performance of these algorithms is quite sensitive
to the choice of the initial iterate. As observed in [5],
it is desirable to choose an initial iterate that
at least has the same order of magnitude as an optimal solution
of the SDP.
Suppose the matrices and *C*
are block-diagonal of the same structure, each consisting of
*L* blocks of square matrices of dimensions .
Let and denote the *i*th block of
and *C*, respectively.
If a feasible starting point is not known,
we recommend that the following initial iterate be used:

where , is the identity matrix of order , and

By multiplying the identity matrix
by the factors and for each *i*,
the initial iterate has a better chance of having the same
order of magnitude as an optimal solution of the SDP.

The initial iterate
above is set by calling `infeaspt.m`, with initial line
` `

wherefunction [X0,y0,Z0] = infeaspt(blk,A,C,b,options),