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I have a code that use CVXOPT to minimize an objective function. At the same time I would like to adapt the code I have so that rather than minimize the function will maximize it.

I know this would be possible using Scipy. In Scipy to maximize the objective function with minimize you should set the sign parameter to -1. I was wondering if a similar solution or workaround was also available in CVXOPT. Is something similar possible in CVXOPT?

Marco_sbt
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    Just negate the objective. **But be careful**. Theory might bite you here -> convex vs. non-convex / global vs. local-optimization. Understand this first before proceeding. And you might get the idea, that your question is very undetailed. Therefore only these basic warnings! – sascha Jan 03 '20 at 18:37
  • Thanks, I am aware of the issue behind (convex vs non-convex). What I am trying to do is maximise the vol/variance rather than minimise – Marco_sbt Jan 03 '20 at 19:04

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