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Questions tagged [convex-optimization]

Convex minimization, a subfield of optimization, studies the problem of minimizing convex functions over convex sets. The convexity property can make optimization in some sense "easier" than the general case - for example, any local minimum must be a global minimum.

Applications:

  • automatic control systems
  • estimation and signal processing
  • communications and networks,
  • electronic circuit design
  • data analysis and modeling
  • statistics
  • finance
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Dynamically generate list of constraints in CVXPY

I am working on a minimum variance optimisation problem in Python using CVXPY that takes in constraints in the form of constraints = [ sum_entries(w) == 1, w[0:5] >0.05, w[1] > 0.05, …
ThatQuantDude
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Plot of the L0 norm penalty function in matlab

I am interested to plot the L0-norm penalty function in matlab. In fact, I know that the L0-norm of a vector x, ||x||_0, returns a value which designates the total number of nonzero elements in x. In other terms, ||x||_0 = #(i | xi !=0). For…
Christina
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YALMIP outputs "Infeasible" for an easy, feasible SDP

I want to determine whether a given 3x3 matrix is positive-semidefinite or not. To do so, I write the following SDP in YALMIP v=0.2; a=sdpvar(1); b=sdpvar(1); M=[1 a -v/4 ; b 1 0 ; -v/4 0…
Alex
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How do I implement the optimization function in tensorflow?

minΣ(||xi-Xci||^2+ λ||ci||), s.t cii = 0, where X is a matrix of shape d * n and C is of the shape n * n, xi and ci means a column of X and C separately. X is known here and based on X we want to find C.
xxx222
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Convert a semidefinite program from CVX to CVXPY

I want to convert the following SDP — which just verifies the feasibility of the constraints — from CVX (MATLAB) to CVXPY (Python): Ah = [1.0058, -0.0058; 1, 0]; Bh = [-1; 0]; Ch = [1.0058, -0.0058; -0.9829, 0.0056]; Dh = [-1; 1]; M = [0, 1;1,…
Huayu Zhang
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Which linear Optimization/Mixed Integer Optimization solver to use?

I have a mathematical model, linear programming, with huge number of decision variables(>500K - 1M). Which of the open source software/library(java) can I use for my requirement? The complexity of the problem is fairly simple, with five constraints…
Yashwanth Remidi
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CVXPY constraint with N variables

Trying to figure out a way to write a constraint with N variable to use on CVXPY that fit this: var1 + var2 + ... + varN = K # K is a constant All variables objects are instantiated and are stored in a list. [Variable, Variable, ...]
gerosalesc
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CVX program for the matrix variable optimization

This question is about solving the problem on CVX using MATLAB: My variable is W which is a N X N matrix. a is n X 1 vector. Sigma is a PSD matrix. a) Can I solve this problem in Disciplined manner? b) How to reformulate this in cvx since CVX says…
Ashutosh Gupta
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How to solve this convex optimization?

It is simple, I know but I have little understanding of convex optimization yet Problem definition: Objective function is II b - Aw II norm 2 a vector of unknown [w1, w2, ..., wn] a data matrix A (m x n), each row has n components([ai1, ai2, ...,…
Hello lad
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cvxopt cone programming documentation

I'm trying to solve a quadratic optimisation problem using the cvxopt python library. I have quadratic constraints which I'm converting to cone constraints. My question is regarding the cvxopt documentation for cone programming. The general cone…
user674155
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Practical solver for convex QCQP?

I am working with a convex QCQP as the following: Min e'Ie z'Iz=n [some linear equalities and inequalities that contain variables w,z, and e] w>=0, z in [0,1]^n So the problem has only one quadratic constraint, except the objective, and some…
Alef
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Best approximation pair for two polygons/polytopes

There are two polytopes A and B in R^3 with empty intersection. The polytopes are defined by its faces, i.e. there are only inequalities for its hyperspaces and vertexes are unknown. The problem is to find points a in A and b in B such that ||a-b||…
cheyp
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LIBSVM : multi-variable optimization

Can LIBSVM solve optimization problem formulation with 2 variables to optimize? LIBSVM library seems to be solving standard formulation, how can one solve other convex optimization problem which are different from That Standard form…
Palash Kumar
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Defining variables: problems with program logical flow

I'm currently trying to implement the following algorithm for finding max.-margin decision boundaries (for use in an SVM): let D = {(x1, y1), (x2, y2), . . . , (xl, yl )} ⊂ Rn ×{+1,−1} r ← max{|x| | (x, y) ∈ D} q ← 1000 let w∗ and b∗ be…
covariance
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YALMIP is returning that a program is infeasible when it is not

I'm having a problem trying to use YALMIP; I suspect I'm doing something silly and I would greatly appreciate if someone pointed out what it is. I'm trying to solve some SDPs. When I don't define an objective, YALMIP returns a solution (implying…
jkn
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