MATLAB: Minimize||(R+S’QS)K + S’QT||

convex optimizationcvxcvxgenyalmip

minimize||(R+S'QS)K + S'QT|| ,where Q & R matrices are diagonal matrix whose values to be determined such that it will minimize the value of the given expression.

Best Answer

You haven't defined which norm you want to use. As you've tagged it with YALMIP, this is the YALMIP code for, e.g., 2-norm.
Q = diag(sdpvar(n,1));
R = diag(sdpvar(n,1));
optimize([],norm((R+S'*Q*S)*K + S'*Q*T,2))
The Frobenious norm ('fro') can be solved analytically if you want, as it is a simple quadratic expression
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