Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
7
questions
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0answers
37 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
$$C= \begin{bmatrix} ...
1
vote
0answers
66 views
Best optimizer for unconnstrained non-convex nonlinear least-square optimization problem?
I am looking for a very good optimizer to the following problem:
$$\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
votes
0answers
22 views
convex atomic function reformulation to meet concave dcp rule requirements
I have an atomic constraint of the form
abs(w - w_prev) >= some_threshold
It is supposed to get every value equal to or above my threshold.
I am working on a ...
0
votes
1answer
51 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.
Question
(A)...
2
votes
1answer
58 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:
...
0
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1answer
447 views
Defining a soft constraint in cvxpy
I am using cvxpy to do a simple portfolio optimization.
I implemented the following dummy code
...
3
votes
1answer
242 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)....
