I have an atomic constraint of the form
abs(w - w_prev) >= some_threshold
It is supposed to get every value equal to or above my threshold.
I am working on a minimization problem in CVXPY where w is my solver variable.
I tried reformulating my constraint into a positive and a negative part
cvx.pos(w-w_prev.as_matrix())[w_prev.as_matrix() >= 0.0] >= 0.001
cvx.neg(w-w_prev.as_matrix())[w_prev.as_matrix() > 0.0] >= -0.001
If I would wrap it into a norm() it would work for a scalar function, but I can't get my head around how(if) this can be turned into a concave constraint so I can use it in my context.