cvxpy to model a problem. Inside a very large and complex LP, I create two continuous, affine (unconstrained) expressions: $x$ and $y$. Due to how they are created, I know that $0\lt x \lt y \leq U$. Obviously: $x/y \lt 1$.
In my LP objective, how do I maximize the ratio $x/y$?
Things I tried:
x*cp.inv_pos(y)states my problem is non DCP (also if I try to minimize the inverse)
- I found various LP formulations for maximizing ratios (e.g. here or here) but these requires rewriting the constraints on all the terms in the expressions for $x$ - I have no idea how to do that with
If this is the way to go then an example would be very helpful!