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Questions tagged [cvxpy]

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

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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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47 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
313 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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1answer
205 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)....