Thanks for the reply Mark. Is there any way outside CVX that this might be possible for me to implement? I’m wondering if stand-alone MOSEK (i.e., without going through CVX) etc. would allow me to get around this? And my apologies in advance if this is a silly question, as my experience with any solvers outside CVX is nil
I think you will have to use a “regular” (not conic) nonlinear optimizer, such as available under YALMIP, to handle this. Given the convexity of the problem, you can still benefit from its properties, such as not having to worry about non-globally optimal local minima. But there could potentially be some numerical challenges which a conic formulation might have been able to avoid.