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Following minimax problem transformation instruction, I define the problem as below:

min z  
s.t. z >= f_i(x)

My question is, in cvxopt, if I declare z as variable, what is the efficient way to build the constraints list? I was try to build a vector [z, z, z, ..., z].T, so that I can use Ax < b as constrains, but I don't know how create this vector.

Liu Yong
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2 Answers2

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Now I found answer, to close this thread

1.T * z
Liu Yong
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you can also try this to get a more accurate value 1.5*z

Akshay Verma
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