How to programme the SPICE(sparse iterative covariance-based estimation)

Hmm, I’m not sure whether CVX will recognize inv_R_hat*R*inv_R_hat as symmetric (or whether it really matters if it does), even if inv_R_hat is exactly symmetric.

Another approach, still requiring inv_R_hat to be symmetric is per my answer in Generalizing "trace_inv" for matrix quadratic forms