My problem is formulated as

min max_k {f_k(x)}

s.t. x>=0;

where f_k, \forall k, is convex.

Is it ok to replay max_k{f_k(x)} with v, then the problem is converted into

min v

s.t. v>=f_k(x), \forall k,

x>=0,

Thanks

My problem is formulated as

min max_k {f_k(x)}

s.t. x>=0;

where f_k, \forall k, is convex.

Is it ok to replay max_k{f_k(x)} with v, then the problem is converted into

min v

s.t. v>=f_k(x), \forall k,

x>=0,

Thanks

Sure, that’s just fine! That’s not just equivalent in CVX, but it’s equivalent mathematically.

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