Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
11
questions
5
votes
1answer
97 views
Practical open source LP solvers for large linear programming problem with $10^7$ parameters
I have an LP problem of the form $\min\ c^Tx$ subject to $Ax\leq b$ where $x$ consists of 30 million parameters and $A$ is a very very sparse matrix of size 30M by 30M (with only 3 ones per row). I ...
1
vote
0answers
75 views
Optimisation Multiple Constraints
I am trying to solve a linear algebra problem: an optimisation problem and I am using CVXOPT. I've split the problem into 3 components
In its simplest form, The general formulation for CVXOPT is \...
1
vote
0answers
47 views
Minimum trade size in CVXPY
I'm trying to replicate some of the suggestions of this paper. On page 40-41, it's made the following suggestion when it comes to enforcing a minimum trade size:
In this context, ...
2
votes
1answer
142 views
Impose binary constraint on integer matrix with CVXPY
So I have the following matrix:
\begin{equation}
P_{i,j}=
\begin{bmatrix}
x_0 & x_1 & x_2 \\
y_0 & y_1 & y_2 \\
z_0 & z_1 & z_2
\end{bmatrix}
\end{equation}
where ...
2
votes
1answer
136 views
Matrix Singularity Constraint
I'm using CVXPY. Given a $2\times2$ matrix $A$, is it possible to add a singularity constraint?
Anything equivalent to:
$|A| = 0$: The determinant is $0$
$\operatorname{rank}(A) \leq 1$
Smallest ...
5
votes
2answers
155 views
Directly calling gurobipy API causes substantially longer runtime than calling cvxpy
Background
I am trying to implement the reranking algorithm proposed in the paper (Eqn 3). The algorithm is cast into an integer linear program which is trying to find permutation matrix $\mathbf{X} \...
7
votes
1answer
126 views
Maximizing a Ratio/Percent
I'm using 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 ...
3
votes
1answer
108 views
Portfolio optimization with indicator function constraint in CVXPY
I have the following portfolio optimization problem that I want to solve using CVXPY: \begin{align}\min_w&\quad w^\top\Pi\\\text{s.t.}&\quad\sum_{i=1}^nw_i=1\\&\quad w^\top\Sigma w\le\...
1
vote
1answer
432 views
Mixed integer quadratic programming (MIQP) in CVXPY
There's something I don't understand about CVXPY's example on its MIQP use. It says that the algorithm returns a solution $x \in \mathbb{Z}^n$ but I thought in general the point of MIQP algorithms was ...
4
votes
1answer
88 views
Make Optimization term fit into DCP rules
I want to make a term in an objective function I am working with fit into DCP for CVXPY.
I am working on replicating this research paper for an active learning problem. Specifically equations 5 is ...
4
votes
0answers
785 views
