How to do grid search for meta parametes of optimization function in CVX?

1

Hi

I have optimization function in the form of
maximize f(x⃗ )−λ2∥x⃗ ∥2−λ1∥x⃗ ∥
One naive way which I’m doing is that, I solve the following optimization problem in CVX with selecting hyper-parameter from uniform grid.
Is there any smart way beside than doing grid search for hyper-parameters ?

2

No, I’m afraid there is not. At least, not with CVX.