Dcp2Cone canonicalizer for the largest lambda sum atom

Dcp2Cone.lambda_sum_largest_canon(expr, args)

Arguments

expr: An Expression object
args: A list of Constraint objects

Value

A cone program constructed from a lambda sum of the k largest elements atom where k*t + trace(Z) is the objective function. t denotes the variable subject to constraints and Z is a PSD matrix variable whose dimensions consist of the length of the vector at hand. The constraints require the the diagonal matrix of the vector to be symmetric and PSD.