How do I properly write the code for penalty CCP? provided function of problem

The best and most reliable solver for this problem is Mosek, which avoids CVX’s Successive Approximation method. if Mosek is not available to you, follow the advice at CVXQUAD: How to use CVXQUAD's Pade Approximant instead of CVX's unreliable Successive Approximation for GP mode, log, exp, entr, rel_entr, kl_div, log_det, det_rootn, exponential cone. CVXQUAD's Quantum (Matrix) Entropy & Matrix Log related functions

However, Mosek 10.1.10 failed on the few (random) problem instances I tried, with the status of dual ill-posed, which given that Mosek was provided the primal, means that Mosek assessed the problem is dual ill-posed. I will leave the assessment as to why to others.

Note that I have not attempted to check whether your CVX code matches the problem statement in the graphic. But because CVX called the solver, the program is a “legal” CVX program, although whether it is “correct” or good is another matter.

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