Hey!

Thread name might be a bit misleading so i will try to clarify.

I’m trying to minimize the weight vector of a optimization problem to later on use it to predict outcome of a stock market. For now the code that uses cvx looks like this:

n=120;

lambda = 0.08;

cvx_begin quiet

cvx_precision low

variable w(n)

minimize(sum_square(X*w - Y) + lambda*norm(w,1))

cvx_end

As you can see I set the value of lambda but i would like cvx to iterate over different lambdas to find the best fit.

When that is done i would also like to set different lambdas inside the norm term so i can penalize specific weights instead of penalizing the whole weight vector, how do i go about doing that?

If anything is unclear, ask and i will try to clarify further!

Thanks in advance!

Best regards, Oskar