MATLAB: How to optimize the trace of the square of a matrix

convex optimization

Best Answer

min: sum_{i=1}^{i=M} (p1i+p2i)
s.c.
p = p1-p2
p1,p2 >= 0
trace((A*R)^2)/trace(A*R) >= lambda
The first constraint can be defined in matrix A_eq, the second constraint gives entries in the array lb and the third constraint has to be set in the user-defined function "nonlcon".
The objective function is linear.
Best wishes
Torsten.
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