Hi all, here’s my problem:
Error using +: Matrix dimensions must agree.
Error using cov: xc = x - sum(x,1)./m; % Remove mean
i’m trying to compute the mahalanobis distance.
My objective function is :
x=arg min||x||_1+||Ax-y||_M ,which is equal to：
x=arg min||x||_1+||L(Ax-y)||_2, where S is the covariance matrix of Ax and y, and inv(S)=L* L.
A is a m *n matrix, x is n *1 vector, y is n *1 vector.
The specific section of the FAQ I was referring to was that CVX is limited to those functions listed in the user guide. cov is not among them. You will have to find a way to express your model using only those functions if you wish to solve it.