Questions tagged [cvxpy]

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

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Convex Optimization with Variable Dependency / no unmet demand carry forward

I'm running into an issue with a Linear Optimization Problem. The ultimate goal is to come back with an optimal production quantity (prod_qty) across several items ...
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1answer
110 views

DCP formulation of sum of nonconvex and convex functions

I am trying to find a DCP formulation for the following convex objective function (using CVXPY): Let $x$ be the $N$-dimensional vector variable on which we optimize on, $c$ be a known scalar value ...
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1answer
41 views

Constraint raises DCP Error

I have defined a problem which will minimize the cost of to run a pump. That is defined as the objective of the problem. ...
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1answer
130 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 ...
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0answers
78 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 \...
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0answers
58 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, ...
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1answer
292 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
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1answer
143 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 ...
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2answers
179 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} \...
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1answer
143 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 ...
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1answer
144 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\...
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1answer
521 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 ...
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1answer
110 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 ...
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0answers
884 views

cvxpy: Code that works for default solver doesn't work for cp.GLPK_MI

The following code works: ...