How to optimize trace of matrix inverse with JuMP or Convex?

@lkapelevich Thank you for the suggestion.

I tried your approach on the same problem. Answers agree, and when p=50, your solution took ~120 seconds on my machine, while my original solution took ~960 seconds. So it’s definitely worth looking into, although I’m not really sure what you are doing. I’ll have to spend more time on it. Thank you so much!!

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