Questions tagged [cvxpy]

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

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1answer
58 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 ...
4
votes
1answer
77 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
431 views

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

The following code works: ...
2
votes
1answer
35 views

Portfolio optimization with indicator function constraints in Cvxpy

I have the following portfolio optimization problem that I want to solve using Cvxpy: However I am having troubles implementing the last constraint involving an indicator function. Any ideas on how ...
1
vote
1answer
238 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 ...