How To Take The Square Root Of Quad_form Output In CVXPY?

I am trying to solve a problem that involves \sqrt{w^t \Sigma w} in the objective function. To compute w^t \Sigma w, I use the quad_form function. How do I take its square root? W

Solution 1:

In order to take the square root of the quadratic form, matrix Sigma must be positive semidefinite. Compute a Cholesky decomposition Sigma = Q.T * Q and then include the term norm(Q*w,2) in your objective function.