Crossposted on Mathematics SE
I seek to minimize a convex quadratic objective subject to linear and $\ell_1$-based equality constraints. When I turn to CVXPY, an error is raised indicating that it does not follow DCP rules. In what ways would it violate DCP? Naively, I thought this would be a common problem so would be handled by CVXPY out of the box.
import cvxpy as cp import numpy as np n = 5 A = np.random.randn(n, n) E = np.eye(n) w = cp.Variable(n) problem = np.Problem( cp.Minimize(cp.quad_form(w, E)), [ A.T @ w == 0, cp.norm(w, 1) == 1 ] prob.solve()