span class="comment">%                  lambda &gt;= 0,  1'*lambda = 1;</span>
<span class="comment">%</span>

cvx_begin <span class="string">sdp</span>
  variables <span class="string">t</span> <span class="string">lambda(p)</span>
  maximize ( t )
  subject <span class="string">to</span>
    V*diag(lambda)*V' &gt;= t*eye(n,n);
    sum(lambda) == 1;
    lambda &gt;= 0;
cvx_end

lambdaE = lambda; <span class="comment">% save the solution for confidence ellipsoids</span>

figure(3)
<span class="comment">% dr