Thread name might be a bit misleading so i will try to clarify.
I’m trying to minimize the weight vector of a optimization problem to later on use it to predict outcome of a stock market. For now the code that uses cvx looks like this:
lambda = 0.08;
minimize(sum_square(Xw - Y) + lambdanorm(w,1))
As you can see I set the value of lambda but i would like cvx to iterate over different lambdas to find the best fit.
When that is done i would also like to set different lambdas inside the norm term so i can penalize specific weights instead of penalizing the whole weight vector, how do i go about doing that?
If anything is unclear, ask and i will try to clarify further!
Thanks in advance!
Best regards, Oskar