I want to maximize Ax = b where A is an m-by-n matrix and x is an n-vector. The constraints on x are that its entries sum to 1 and that A x >= 0.
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Jesica
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Rodrigo de Azevedo No in fact I want to maximize the summation of this vector elements. Max( sigma (bi)) – Jesica Jun 05 '18 at 13:36
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@Rodrigo de Azevedo No in fact I want to maximize the summation of this vector elements. Max( sigma (bi)) – – Jesica Jun 05 '18 at 13:36
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No, sorry the editor has changed my notations. The summation on the x vector is 1. summation(xi) = 1. – Jesica Jun 05 '18 at 14:00
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No I dont want to maximize x, I want to maximize Ax. – Jesica Jun 05 '18 at 14:31
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It's still unclear to me what you want to maximize. Maximizing ```Ax``` is ambiguous. – sascha Jun 05 '18 at 15:28
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No Maximization on the summation of elements. – Jesica Jun 05 '18 at 15:30
1 Answers
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Using CVXPY instead:
from cvxpy import *
import numpy as np
m = 30
n = 10
# generate random data
np.random.seed(1)
A = np.random.randn(m,n)
b = np.random.randn(m)
# optimization variable
x = Variable(n)
# build optimization problem
prob = Problem( Maximize(sum(A*x)), [ sum(x) == 1, A*x >= 0 ])
# solve optimization problem and prints results
result = prob.solve()
print x.value
This optimization problem is unbounded and, thus, there is no optimal solution.
Rodrigo de Azevedo
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Thank you very much, I had problem in installing cvxpy in python in my operating system. That was why I was using cvxopt. I think I need to solve the issue with installation first and then try this piece of code. – Jesica Jun 05 '18 at 15:29
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Ok, I ran your script but in the line x = Variable(n) it gives me error. AttributeError: 'int' object has no attribute '_root'. – Jesica Jun 05 '18 at 16:14
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