Hi,

I want to solve the optimization problem below without for loop for efficiency without encountering DCP problem.

\min_{A \in \Re^{p \times k}} \sum_{j=1}^{p} \| \alpha_{j} \|_{2} subject to \|D\tilde{B} - \Lambda A \|_{\infty} \leq \tau

where

A=[\alpha_{1}, \alpha_{2},...,\alpha_{k}] and \alpha \in \Re^{p}.

p tends to be very large so if I use for loop, it slows the algorithm. Thank you for your help.

Seal.