Questions tagged [cvxpy]
CVXPY is a Python-embedded modeling language for convex optimization problems.
42 questions
2
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1
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MOSEK via fusion vs API vs CVXPY
In Python, I would like to solve a collection of problems, that are all solvable via MOSEK's conic optimization solvers (ExpCone, SOCP, etc.)
I have tried CVXPY. I get very robust and reliable results,...
- 41
1
vote
1
answer
102
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How do I implement this convex problem in CVXPY?
I am looking to implement the following optimization problem in CVXPY.
$$ \max _{x_t} x_t' \mu - \frac{\gamma}{2} x'_t \Sigma x_t - x'_t\Lambda \Delta x_t $$
where $\Delta x_t := x_t - x_{t-1}$ and $\...
- 41
0
votes
1
answer
268
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CVXPY stuck in Compilation step during solving linear program
I'm trying to solve a linear program with 869532 variables and 8869 constraints in CVXPY. The CVXPY gets stuck in the Compilation session right before passing the problem to the solver. Here's the ...
CommunityBot
- 1
0
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0
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62
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Nuc norm and L2 norm for sdp problem
I have a question about using nuclear norm for rank minimisation.
I have a SDP problem.
f(X) is convex in nature and g(x) is linear.
Now, I must apply rank minimisation and establish a relationship ...
- 37
2
votes
1
answer
68
views
Penalize absolute value while keeping the problem DPP (CVXPY)
I am trying to implement the objective function max a . x + c . abs(x - g). where all elements of c are non-positive, ...
- 41
2
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3
answers
301
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How to represent the objective function of the Weapon Target Assignment problem in CVXPY?
I am trying to use CVXPY to analyse a problem and the objective function for this problem involves calculating a product and a sum as per the problem description below (taken from a draft paper I am ...
2
votes
1
answer
159
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How to model the constraints of min and max in cvxpy
I have a continuous variable $x_{ij}\in[0,1]$ and I need to write the following constraint:
$$M_i-m_i+1\leq C_i$$ where $M_i=\max\{j: x_{ij}>0\}$ and $m_i=\min\{j: x_{ij}>0\}$
- 34.3k
1
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1
answer
121
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Convex approximation of a constraint
I have a constraint given as
$
\left|x_n+\beta x_{n+ 1}\right|-\varepsilon_{ky}\left|x_{n}\right|\leq0\hspace{1em}\forall n=1,2...,N
$ I need to convert this into a convex form to implement in CVX. $...
- 37
0
votes
1
answer
286
views
Convex approximation of an expression
I am trying to transform an expression given by
$$ \operatorname{trace} \left( {\bf{X} } \right) + \left( \sum_{n=1}^N \mathcal{R}(x_n) \right) $$ into convex from where $\mathbf{x}$ is complex in ...
- 37
5
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0
answers
571
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How to write this objective in CVXPY for quasiconvex programming?
I have the following objective that I want to maximize:
\begin{equation}
\max_{U_T\in \mathbb{R}, x\in\mathbb{R}^T} J_\alpha(U_T) = \frac{\alpha}{\alpha-1}\log\left(\frac{\cosh(U_T)}{\cosh(\alpha U_T)^...
- 86
0
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1
answer
117
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Convex approximation of an expression with fraction for CVX
I have the optimization problem
$$\underset{\mathbf{x} \in \Bbb C^N}{\max} \left| \frac{\mathbf{x}a-b}{\mathbf{x}c+b} \right|^2$$
where $a$, $b$ and $c$ are some scalars. I want to solve this ...
2
votes
1
answer
497
views
MIQP — CVXPY unable to treat summation of variables as a variable
I have a quadratic integer programming assignment problem. The goal is to assign riders seats on a bus such that distance between any two riders is maximized; however, the importance of each objective ...
CommunityBot
- 1
2
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1
answer
313
views
Quadratic optimisation with $\ell_1$ constraints with CVXPY
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 ...
1
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0
answers
127
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Handling Variable Division in CVXPY for Calculating Annualized Rate of Change
I am working with a dataset that contains multiple entries for different IDs across various years. Some IDs might have a gap of years between entries. My goal is to solve an optimization problem using ...
- 111
0
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1
answer
134
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Simulating an integer quadratic knapsack problem
I am trying to simulate the following quadratic integer program using $\textsf{cvxpy}$:
$$ \begin{array}{ll} \underset {x_1, \dots, x_K} {\text{minimize}} & \displaystyle\sum\limits_{i=1}^{K}\frac{...
- 1,895
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1
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185
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2
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0
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78
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How to rewrite a constraint with sum of convex and concave components to satisfy DCP rule?
suppose that decision variable is X with N dimensions, and one type of the constraint is ...
- 21
5
votes
2
answers
544
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Simple OLS problem can only be solved in SCS. Is the dual infeasible?
Essentially, I am trying to solve a simple orthogonal least-squares (OLS) problem with some constraints — the coefficients must sum to $1$, no coefficient can be less than $0$, and no coefficient can ...
4
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3
answers
663
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Determining the optimize lambda in Multi-Objective Optimization
I have a convex optimization problem:
Maximize obj1
Minimize obj2
Some constraint
Now to solve this problem, I used lambda to make it one problem:
...
- 3,553
1
vote
0
answers
175
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Optimization Multiple Constraints
I am trying to solve a linear algebra problem: an optimization problem and I am using CVXOPT. I've split the problem into 3 components
In its simplest form, The general formulation for CVXOPT is \...
- 1,895
1
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2
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234
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Does the cvxpy replace the max function by MIP formulation under the hood?
Does the cvxpy replace the max function, which is convex, by MIP formulation under the hood when shows up in the constraints (for example, $\max(x,y)\le z$) or in the objective function? In gurobipy, ...
- 5,462
3
votes
2
answers
1k
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Is solving a quadratic programming optimization problem using python slower than C++？
I am using the cvxpy library in python to solve a quadratic programming problem and the solver used is scip. I found that when the amount of data becomes large, the solution process will be ...
- 3,553
3
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1
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67
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Is not the substitution method supposed to reduce the computation cost?
Is the substitution method expected to reduce the computation cost? We know it will reduce the number of variables and constraints.
I mean by substitution method is to eliminate the equality ...
- 34.3k
1
vote
2
answers
381
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How to solve this mixed integer quadratic program using cvxpy or other method?
My problem is described in this picture:
$$
\begin{array}{l}
\left\{\begin{array}{l}
\text { objective function: } \\
f = \min \sum_\limits{l=1}^2 \sum_\limits{i=0}^{2^l-1} \sum_\limits{j=0}^{2^l-2}\...
- 2,959
3
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0
answers
167
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Does Gurobipy exploits sparsity of the optimization problem?
What happens when a (sparse) csr matrix / array is submitted to Gurobi (via Cvxpy framework in python).
Does it exploit the sparsity Information about the matrix or ...
- 470
4
votes
1
answer
238
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, \...
- 5,462
5
votes
1
answer
237
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 ...
- 34.3k
8
votes
1
answer
420
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 ...
- 1,743
3
votes
1
answer
547
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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 ...
1
vote
1
answer
88
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 ...
- 34.3k
4
votes
1
answer
167
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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 ...
- 150
2
votes
1
answer
168
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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.
...
- 13.9k
5
votes
1
answer
466
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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 ...
- 40.8k
3
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1
answer
523
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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\...
- 5,462
1
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0
answers
428
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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, ...
- 5,904
2
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1
answer
2k
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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 ...
- 293
2
votes
1
answer
249
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 ...
- 5,462
7
votes
1
answer
461
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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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6
votes
2
answers
431
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} \...
- 1,743
4
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1
answer
235
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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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4
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0
answers
2k
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cvxpy: Code that works for default solver doesn't work for cp.GLPK_MI
The following code works:
...
2
votes
1
answer
1k
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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 ...