Im a beginner of cvx.
Here is my objective function: this is in section V-D of paper
subject to 0 \leq z_i \leq 1 and i^Tz=k
Question 1: can I use cvx to estimize z directly by just following this objection function?
Question 2: in my application m=4000 a quite large scale problem, if there is a cvx function can solve this problem much faster?
Here’s how you might write this problem in CVX:
I tried this with
A=randn(n,m). It took less than 15 seconds to run. Your problem can be solved more efficiently by replacing the
This takes under 5 seconds on my computer. See mcg’s post on this trick here).
How about if set n=1000,k=1200. I tried it but it said Out of memory.
My application is real a large scale problem.