Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
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Penalize absolute value while keeping the problem DPP (CVXPY)
I am trying to implement the objective function max a . x + c . abs(x - g). where all elements of c are non-positive, ...
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How to model the constraints of min and max in cvxpy
I have a continuous variable $x_{ij}\in[0,1]$ and I need to write the following constraint:
$$M_i-m_i+1\leq C_i$$ where $M_i=\max\{j: x_{ij}>0\}$ and $m_i=\min\{j: x_{ij}>0\}$
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Convex approximation of a constraint
I have a constraint given as
$
\left|x_n+\beta x_{n+ 1}\right|-\varepsilon_{ky}\left|x_{n}\right|\leq0\hspace{1em}\forall n=1,2...,N
$ I need to convert this into a convex form to implement in CVX. $...
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Convex approximation of an expression with fraction for CVX
I have the optimization problem
$$\underset{\mathbf{x} \in \Bbb C^N}{\max} \left| \frac{\mathbf{x}a-b}{\mathbf{x}c+b} \right|^2$$
where $a$, $b$ and $c$ are some scalars. I want to solve this ...
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MOSEK via fusion vs API vs CVXPY
In Python, I would like to solve a collection of problems, that are all solvable via MOSEK's conic optimization solvers (ExpCone, SOCP, etc.)
I have tried CVXPY. I get very robust and reliable results,...
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278
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Convex approximation of an expression
I am trying to transform an expression given by
$$ \operatorname{trace} \left( {\bf{X} } \right) + \left( \sum_{n=1}^N \mathcal{R}(x_n) \right) $$ into convex from where $\mathbf{x}$ is complex in ...
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How to write this objective in CVXPY for quasiconvex programming?
I have the following objective that I want to maximize:
\begin{equation}
\max_{U_T\in \mathbb{R}, x\in\mathbb{R}^T} J_\alpha(U_T) = \frac{\alpha}{\alpha-1}\log\left(\frac{\cosh(U_T)}{\cosh(\alpha U_T)^...
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Quadratic optimisation with $\ell_1$ constraints with CVXPY
Crossposted on Mathematics SE
I seek to minimize a convex quadratic objective subject to linear and $\ell_1$-based equality constraints. When I turn to CVXPY, an error is raised indicating that it ...
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Handling Variable Division in CVXPY for Calculating Annualized Rate of Change
I am working with a dataset that contains multiple entries for different IDs across various years. Some IDs might have a gap of years between entries. My goal is to solve an optimization problem using ...
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CVXPY stuck in Compilation step during solving linear program
I'm trying to solve a linear program with 869532 variables and 8869 constraints in CVXPY. The CVXPY gets stuck in the Compilation session right before passing the problem to the solver. Here's the ...
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How do I implement this convex problem in CVXPY?
I am looking to implement the following optimization problem in CVXPY.
$$ \max _{x_t} x_t' \mu - \frac{\gamma}{2} x'_t \Sigma x_t - x'_t\Lambda \Delta x_t $$
where $\Delta x_t := x_t - x_{t-1}$ and $\...
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113
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Simulating an integer quadratic knapsack problem
I am trying to simulate the following quadratic integer program using $\textsf{cvxpy}$:
$$ \begin{array}{ll} \underset {x_1, \dots, x_K} {\text{minimize}} & \displaystyle\sum\limits_{i=1}^{K}\frac{...
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How to represent the objective function of the Weapon Target Assignment problem in CVXPY?
I am trying to use CVXPY to analyse a problem and the objective function for this problem involves calculating a product and a sum as per the problem description below (taken from a draft paper I am ...
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How to rewrite a constraint with sum of convex and concave components to satisfy DCP rule?
suppose that decision variable is X with N dimensions, and one type of the constraint is ...
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