How to write this objective function in CVX, see figure below. Thank you very much.
xiaolilixiao (li xiao) #1
Mark_L_Stone (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