Hello,
I am trying to do something along the lines of the following
cvx_begin quiet
variables W_y(nDimY) W_x(nDimX)
maximize (W_x'*T*W_y)
subject to
norm(W_x,2) <= 1
norm(W_y,2) <= 1
cvx_end
where T is a PSD matrix.
How can I formulate this in the right way?
Thank you