I have the following model:
variable theta(N*T) nonnegative
minimize( norm(A*theta-b, 2) + gamma*norm(theta,1) )
ineqmat*theta <= ones(N,1);
theta is an
(NxT)x1 vector that represents the stacked columns of a matrix. (I mean, once I estimate it, I reshape it to an
NxT matrix to do additional stuff.)
I need to add constraints that the minimum of each row of the theta matrix is greater than a constant. Or, in vector form, I need the minimum of the first
T values of theta, and then the minimum of the next
T values of theta, etc. So if I can reshape theta into a matrix within the cvx code and add a constraint for each row I believe I’ll have what I need. Is it possible to do this? How would I reshape it just within the constraint?
Ideas for alternative approaches would also be greatly appreciated.