Rayleigh quotient optimization

(Gyan Swarup Nag) #1

How to solve the problem maximize x^Gx/x^*x subject to the constraints x^*H_1x=0 and x^H_2x=0, where G , H_1 and H_2 are hermitian matrices, my question is how to code this problem in cvx ?

(Mark L. Stone) #2

x^*H_1*x=0 and x^H_2*x=0 are non-convex constraints