Linear programming with positive semi definite matrices

We consider the general linear programming problem over the cone of positive semi-definite matrices. We first provide a simple sufficient condition for existence of optimal solutions and absence of a duality gap without requiring existence of a strictly feasible solution. We then simply characterize the analogues of the standard concepts of linear programming, i.e., extreme points, basis, reduced cost, degeneracy, pivoting step as well as a simplex-like algorithm.