I’ve successfully solved a convex problem with cvx. This means I found a convex variable which best fits my problem. Now I want to know something about its uncertainty.
When fitting “normal” variables, I calculate the hessian at the solution, invert that matrix and get something which is proportional to the covariance matrix of the solution vector.
Does anybody know how to do this calculation here, where we deal with solution matrices (and not with vectors)?