Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
15
questions
2
votes
1answer
79 views
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 ...
1
vote
0answers
47 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 $...
1
vote
0answers
84 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}} & ...
2
votes
0answers
110 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
votes
1answer
160 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
votes
1answer
285 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 $$A_l ...
1
vote
1answer
97 views
1
vote
1answer
1k views
Why am I getting this DCPError?
I'm trying to optimize a binary portfolio vector to be greater than a benchmark using CVXPY.
...
1
vote
0answers
72 views
Ramp least squares estimation
With some given $s$ value, let
\begin{equation}
\begin{aligned}
h(\beta)&=\min(\sum_{i=1}^n(Y_i - X_i\beta)^2, s)\\
&=\sum_{i=1}^n(Y_i - X_i\beta)^2-\max(0, \sum_{i=1}^n(Y_i - X_i\beta)...
1
vote
0answers
46 views
least squared optimization
I want to decompose a list of 3D vectors $X_j$ as linear combination of five 3D verctors $C_k$
$$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
85 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
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)...
2
votes
1answer
122 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
votes
1answer
898 views
Defining a soft constraint in cvxpy
I am using cvxpy to do a simple portfolio optimization.
I implemented the following dummy code
...
4
votes
1answer
339 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)....
