I would make sure the rho parameters are intuitively connected to the norm they represent. For example. for the budget uncertainty set, I would use rho_1 and rho_inf to represent the 1-norm and the $\infty$-norm.
Now in the code we have rho1 for the $\infty$-norm and rho2 for the 1-norm which is highly counterintuitive...
I would make sure the rho parameters are intuitively connected to the norm they represent. For example. for the budget uncertainty set, I would use
rho_1andrho_infto represent the 1-norm and the $\infty$-norm.Now in the code we have
rho1for the $\infty$-norm andrho2for the 1-norm which is highly counterintuitive...