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Questions tagged [cvxpy]

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CVXPY is a Python-embedded modeling language for convex optimization problems.

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Formulating this optimization problem

Suppose I want to minimize below objective function $\sum | g(x_i) \cdot I_{g(x_i)<0} |^2$ i.e, the latter penalty terms like $ |g(x_i)|^2 $ are only computed when $g(x_i)<0$. $|g(x_i)|^2$ are ...
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0answers
55 views

Maximizing $l_1$-normalized entropy using CVXPY

Suppose that $x = (x_1, ..., x_n)$ is a vector of variables and I would like to maximize the Shannon entropy of $\frac{|x|}{||x||_1}$ (i.e. the vector of absolute values of $x_i$, normalized to have $...
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0answers
96 views

Why is the problem infeasible?

Given $\mathbf V_t=\mathbf v_t\mathbf v_t^H$ where $\mathbf v_t=\left(e^{j\theta_{1}},e^{j\theta_{2}}\right)^H$: \begin{equation*} \begin{array}{ll} \underset{\mathbf V}{\operatorname{minimize}} & ...
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0answers
114 views

Understanding Illumination Optimisation Problem

I am a newbie to convex optimisation and I am learning with the aid of CVXPY. I am requesting for clarity on the illumination problem as described in Boyd & Vandenberghe lecture 1 slides here. I ...
2
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1answer
238 views

Why is CVXPY throwing a DCP error with cp.sqrt but no error with cp.norm

I am trying to use CVXPY to optimise signal-to-noise-plus interference ratio (SINR) for a visible light communication (VLC) system. I have one of my SINR constraints stated as \begin{equation} \...
0
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1answer
404 views

Norm constraint in CVXPY

I'm trying to implement the algorithm outlined in https://arxiv.org/abs/1211.5608 on a small scale. I have a linear operator $\mathcal{A}$ which is defined as $$\text{trace}(A^*_l(hm^*))$$ where $$A_l ...
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1answer
102 views

Why am I getting this DCPError when my matrix is PSD?

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1answer
2k 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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0answers
73 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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0answers
48 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} ...
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0answers
86 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 \...
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1answer
76 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)...
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1answer
128 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
913 views

Defining a soft constraint in cvxpy

I am using cvxpy to do a simple portfolio optimization. I implemented the following dummy code ...
4
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1answer
356 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)....

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