Help to formulate


I am trying to do something along the lines of the following

cvx_begin quiet
  variables W_y(nDimY) W_x(nDimX)
  maximize (W_x'*T*W_y)
  subject to
       norm(W_x,2) <= 1
       norm(W_y,2) <= 1

where T is a PSD matrix.

How can I formulate this in the right way?

Thank you

Your objective function is non-convex. You will need a different tool than CVX to handle this problem. FAQ: Why doesn’t CVX accept my problem? [READ THIS FIRST]