I am facing out of memory problem when solving following problem using CVX in MATLAB version 2014a in windows 10.
let A be m\times n matrix.
Problem:
cvx_begin
variable X(m,m) symmetric
min_X( max_{i\neq j} A^TXA)
subject to diag(A^TXA) = 1 for i = 1,2,....n,
X == semidefinite(m).
cvx_end
where A is of size 1024\times 1024 and X is of size 1024 \times 1024. When I run this problem, using CVX, Its giving out of memory problem.
Please help me. Thanks in advance.