Suppose I have a LP problem, in which:
w is a constant column vector of dimension r
a is a constant column vector of dimension r
p is a constant column vector of dimension T
d is a matrix variable of dimensions (r,T)
I have to insert the following constraint in an LP problem:
I've been using R and CVXR for a short time, so I can't figure out how to insert that double summation. Would anyone know how to help me?