maximize    logdet(S) - tr(SY) - lambda*sum(sum(abs(S)))</span>
<span class="comment">%           subject to  S &gt;= 0</span>
<span class="comment">% where Y is the sample covariance of y1,...,yN, and lambda is a sparsity</span>
<span class="comment">% parameter to be chosen or tuned.</span>
<span class="comment">% A figure showing the sparsity (number of nonzeros) of S versus lambda</span>
<span class="comment">% is generated.</span>

<span class="comment">% Input data</span>
randn(<span class="string">'s