Hi Team

Firstly, awesome tool! Thanks for CVX, it is fantastic.

I have a Markov matrix (every entry is positive or zero, every column adds up to 1) and a state vector which has strictly positive entries.

I can prove that this is affine by using linearity, the positivity of every entry and the column sum condition.

Is there a clever way to let CVX know that the matrix product of my Variable Markov matrix and the Variable state vector is affine?

I am trying to minimise the nuclear norm of a Markov matrix with hidden state variables whose initial condition I know, as well as how long the matrix has been iterating for. I have known positive numerical outputs of the hidden states at each step in time as well, which are affine.

I searched for Markov matrix related posts and couldn’t find ones which covered my use case.

Any help is appreciated, I recognise that most of the time the active participants on this forum spend their time telling people that they need to read the modelling sticky post (which I’ve done).

Thanks!

Jacques