sigma is a positive semidefinite matrix, it’s a covariance matrix actually
I wanted this - sqrt([x.’ * sigma * x]) but sqrt is concave increasing and inside term is convex so not possible according to cvx composition rules
So I did - norm([x.’ * sigma * x]) but it gives the error norm( {convex}, 1 ).
How do I solve this problem ? This is the first time I am using CVX please help.