How to write this objective function that can be recognized in CVX


(li xiao) #1

How to write this objective function in CVX, see figure below. Thank you very much.


(Mark L. Stone) #2

I will presume w >= 0. Of course, if no constraints are added, H = matrix of zeros will be optimal with optimal objective value = 0.

cvx_begin
variable H(n,n)
V = sqrt(diag(w))*H'*X;
minimize(vec(V)'*vec(V))
% place constraints here
cvx_end