Hi, I’m a new user of CVX.
Recently, I wanted to solve the maximum eigenvalue of a symatric matrix X. I know there is a function called lambda_max in CVX that I could use to solve this problem directly. However, I want to program it without this m file, but I failed.
Here is my program:
X = [3,0;0,1];
max(y’ * X * y) <= t
norm(y,2) <= 1
I kindly hope y would be [1,0]’; but actually, after optimization y is around [0,0]’; I don’t know why.
Could you help me to explain it? Sincerely thank you for your help!