Weighted Euclidean norm

1

Sorry currently I cannot upload images.

x is a a1 vector and sigma is a aa matrix.

I want to express this function. sqrt(x’ * sigma * x)

I suppose this function should be expressed as sqrt(quad_form(x,sigma)) but it shows that "Disciplined convex programming error: Illegal operation: sqrt( {convex} ).

I think the problem is sqrt(). But I don’t know how to correct it.

2

I will assume that \Sigma is positive semidefinite—because if it is not, the function is not convex, and you would never try using a non-convex function in CVX, right? :smile:

Here’s the answer: norm(sqrtm(Sigma)*x).