Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
18
questions
4
votes
1
answer
121
views
Geometric Programming with Simple Affine Equality Constraint
Consider a Geometric Program (GP),
$$
\begin{array}{cl}
\operatorname{minimize} & f_{0}(x) \\
\text { subject to } & f_{i}(x) \leq 1, \quad i=1, \ldots, m, \\
& g_{i}(x)=1, \quad i=1, \...
- 233
5
votes
1
answer
140
views
Constraints like "max(column a + column b) == 2" are not DCP
I am struggling with the following constraint on a minimization problem
cvx.max(z[:, i] + z[:, j]) == 2
where z is a Boolean ...
- 585
7
votes
1
answer
144
views
Translate LP format to Numpy matrices
We have a large-scale optimization problem (~10K vars and ~10K constraints) in the form of LP format file (generated using Cplex ...
- 430
3
votes
1
answer
151
views
Adding CVXPY abs to optimization problem turns out to be non-DCP
I have tried to solve an optimization problem using CVXPY library. This problem aims to minimize the distance between a vector of $n$ variables ($\beta$), which can be positive or negative real ...
- 39
1
vote
1
answer
59
views
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 ...
- 11
4
votes
1
answer
122
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 ...
- 41
2
votes
1
answer
69
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.
...
- 141
5
votes
1
answer
189
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 ...
- 151
1
vote
0
answers
80
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 \...
- 73
1
vote
0
answers
101
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, ...
- 119
2
votes
1
answer
646
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 ...
- 193
2
votes
1
answer
163
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 ...
- 195
6
votes
2
answers
240
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} \...
- 163
7
votes
1
answer
169
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 ...
- 195
3
votes
1
answer
252
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
1
answer
688
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 ...
- 147
4
votes
1
answer
157
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
0
answers
1k
views
cvxpy: Code that works for default solver doesn't work for cp.GLPK_MI
The following code works:
...
- 343