Given two vectors v1, v2 of size n=20, I am trying to solve the following
cvx_begin variable x(n); variable a1; variable a2; w_comb = a1 * v1 + a2 * v2; maximize( w_comb'*x ); subject to -x_r <= x <= x_r; a1 + a2 == 1; a1 >= 0; a2 >= 0; cvx_end
but, I get the following error (Mosek proceeds to solve this as a conic):
Error using cvx/quad_form (line 230)
The second argument must be positive or negative semidefinite.
Error in * (line 261)
[ z2, success ] = quad_form( xx, P, Q, R );
Do I need additional constraints on