Dear Friends,
I’m trying to solve this problem in CVX by one-dimensional search over variable t as
cvx_begin SDP
variable W( NS , NS ) hermitian
maximize t
subject to
W > 0;
trace(W*U2) > t*trace(W*E2);
trace(W*U1) > t*trace(W*E1);
cvx_end
The solvers in CVX consider the “<” as “\leq”. As a result, the trivial solution \bf{W}=0 is returned by CVX which is not favorable. Does anybody know how to impose strict inequality in CVX?
Thank you a lot.
Ashkan