Solution
= Solution
For $s=|S|>0$, the <compatibility constant> in the convention used here is
$$
\phi_{\widehat\Sigma}^2(S)
=s\inf\left\{\delta^T\widehat\Sigma\delta:
\lVert\delta_S\rVert_1=1,
\ \lVert\delta_{S^c}\rVert_1\leq3\right\}.
$$
= Solution
For $s=|S|>0$, the <compatibility constant> in the convention used here is
$$
\phi_{\widehat\Sigma}^2(S)
=s\inf\left\{\delta^T\widehat\Sigma\delta:
\lVert\delta_S\rVert_1=1,
\ \lVert\delta_{S^c}\rVert_1\leq3\right\}.
$$