Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
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1answer
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1answer
66 views
Why am I getting this DCPError?
I'm trying to optimize a binary portfolio vector to be greater than a benchmark using CVXPY.
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1
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0answers
66 views
Ramp least squares estimation
With some given $s$ value, let
\begin{equation}
\begin{aligned}
h(\beta)&=\min(\sum_{i=1}^n(Y_i - X_i\beta)^2, s)\\
&=\sum_{i=1}^n(Y_i - X_i\beta)^2-\max(0, \sum_{i=1}^n(Y_i - X_i\beta)...
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46 views
Least square approximation of a polynomial with a constraint on the derivative in Python
I'm trying to fit a polynomial of the third degree through a number of points. This could be a very simple problem when not constraining the derivative. I found some promising solutions using CVXPY to ...
1
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0answers
42 views
least squared optimization
I want to decompose a list of 3D vectors $X_j$ as linear combination of five 3D verctors $C_k$
$$X_j= \sum_{i=1}^{5}{w_{ji}C_i}$$ both $X_j$ and $C_i$ are 3 components vectors
$$C= \begin{bmatrix} ...
1
vote
0answers
76 views
Best optimizer for unconnstrained non-convex nonlinear least-square optimization problem?
I am looking for a very good optimizer to the following problem:
$$\min_{P,\Theta}\lVert APD(\Theta)P^{-1} -B \rVert_F$$
where $A,B \in \mathbb{R}^{n\times m}$, $P \in \mathbb{R}^{m\times m}$, $D\in \...
0
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1answer
63 views
Formulate and solve a simple conic programs in cvxpy language [closed]
Let $r,\epsilon > 0$ and $a, b \in \mathbb R^n$ with $\|a\|_2 \le r$. Define $C(a) := \{x \in \mathbb R^p | \|x+a\|_2 \le r,\;\|x\|_\infty \le \epsilon\}$, and assume it is non-empty.
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(A)...
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1answer
87 views
Question about strange outputs from the CVXPY solver
I am familiarizing myself with CVXPY, and encountered a strange problem. I have the following simple toy optimization problem:
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1answer
616 views
Defining a soft constraint in cvxpy
I am using cvxpy to do a simple portfolio optimization.
I implemented the following dummy code
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3
votes
1answer
285 views
Imposing special structure on Positive Semi-Definite matrix
I am trying to implement the algorithm described in reference 1 using cvxpy. However I am struggling to constrain the matrix $Z_j$ as described in equations (33-35)....
