My semidefinite program amounts to two constraints, $L_1 = 0$ and $L_2 = 0$ where $L_i$ are linear functions of my variables $x_{ij}$ with the additional constraint that the $x_{ij}$ matrix is positive semidefinite. I see no way that this program would be infeasible, because just setting every variable to 0 would satisfy all the constraints.
I have written the semidefinite program according to SPDA format. In this format, my SDP is the dual program. When I solve it with the software csdp, it tells me that the "dual program is infeasible."
Here is the particular SDP:
2
1
11
0.0 0.0
0 1 1 10 1.0
1 1 1 10 .25
1 1 3 10 .25
1 1 6 10 -.25
1 1 8 10 -.25
1 1 9 10 -.5
2 1 2 11 -3.0
2 1 3 11 -4.0
2 1 4 11 1.0
2 1 5 11 1.0
2 1 6 11 -4.0
2 1 7 11 3.0
2 1 9 11 1.0
csdp outputs This is a pure dual feasibility problem.
Iter: 0 Ap: 0.00e+000 Pobj: 0.0000000e+000 Ad: 0.00e+000 Dobj: 0.0000000e+000
Iter: 1 Ap: 1.00e+000 Pobj: 5.6521881e+000 Ad: 9.00e-001 Dobj: 0.0000000e+000
Declaring dual infeasibility.
Success: SDP is dual infeasible
Certificate of dual infeasibility: tr(CX)=1.00000e+000, ||A(X)||=1.38778e-017
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