I can create a symmetric matrix variable in CVXPY with X = cp.Variable((size_n, size_n), symmetric=True). Is there a way to vectorize the matrix so that I can obtain a size_n*size_n by 1 vector?
I want to do this because I want to calculate the result of a linear operator A that acts on this matrix, which is left by multiplying A with this vectorized matrix vector.
For instance, I want to minimize cvxpy.norm(A @ vec(X)). However, I cannot find such a vectorization function. I am not sure how to code it up by myself either.
It is possible to just create a new vector variable and append size_n * size_n constraints setting each entry of the matrix equal to the vector. However, this doesn't seem to be a very elegant way to do this and I'm afraid it will affect the performance.
For the vectorization function, it is contained in the cvxpy library. See here.
By inspecting its code, it can be observed that it in essence uses the reshape function.