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Questions tagged [cvxpy]

CVXPY is a Python-embedded modeling language for convex optimization problems inspired by the MATLAB package CVX.

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Solving Assignment Problem with conditional minimum group sizes using CVXPY

I'm using cvxpy within python to solve a particular type of assignment problem. I'd like to assign M people to N groups in a way that minimizes cost, with the following constraints on groups: Groups cannot have more than J members If a group is…
profj
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CVXPY Import Error - 'sum_entries' is not defined

I just install the latest version of cvxpy using pip install and am working my way through the examples provided at http://nbviewer.jupyter.org/github/cvxgrp/cvx_short_course/blob/master/applications/portfolio_optimization.ipynb The code does not…
The User
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CVXPY: suppress output for GLPK

I am using cvxpy and since the update to 1.0.6 I get unwanted output when calling GLPK. import cvxpy as cvx x = cvx.Variable(2) p = cvx.Problem(cvx.Minimize(x[0]), [x[0] + x[1] == 1, x[0] - x[1] >= 1]) p.solve(solver = cvx.GLPK) In IPython3 this…
Hennich
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CVXPY: how to efficiently solve a series of similar problems

I have a large problem defined in CVXPY modelling language. I want to solve series of this problems - still the same format but with different parameters (constants). I found out that after calling problem.solve() internal problem generating takes…
dave-cz
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How to create an inequality constraint on the inner product of two columns in CVXPY?

Suppose my constraint is the product of the first column and third column of the matrix variable is greater than one. How can I implement in CVXPY? Example: w = Variable(4,3) In Matlab, my constraint would be: w(:,1)'*w(:,3)>1 How can I implement…
Creator
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How to write several constraint in cvxpy?

I want to add many constraint in a optimization problem under cvxpy. In matlab I can do so by adding a line subject to and then use for loop to generate the constraints. How can I do the same work in cvxpy, as there is no 'subject to' concepts in…
Creator
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Check constraints are ok in cvxpy with actual values

When solving optimisation problems in cvxpy, is there a nice way to check that the constraints are valid by substituing in actual values for the optimisation variables? I have a complicated optimisation problem (100+ constraints), but I know what…
mjeppesen
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Problem solving a minimization problem in cvxpy

I have a linear optimization problem, which can be expressed in a cost function code like this: value_to_minimize = 0.0; for i in range(0, len(v_1)): value_to_minimize += np.abs(v_1[i] - (v_2[i] * c1 + v_3[i] * c2 + v_4[i] * c3)); The task of…
MerklT
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Least square approximation of a polynomial with a constraint on the derivative in Python

I'm trying to fit a polynomial of the third degree through a number of points. This could be a very simple problem when not constraining the derivative. I found some promising solutions using CVXPY to combine least squares with constraints but so…
takje
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How to solve the 8 queens problem with CVXPY?

I am really new to CVXPY. I am trying to solve the 8 queens problem, i.e., the problem of placing 8 chess queens on an 8 x 8 chessboard so that no two queens threaten each other. As I understand it, the constrainsts should be: sum of each row…
Binyamin Even
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How to solve a facility location allocation (IP) problem in CVXPY

I am learning to solve optimization problems using CVXPY, so I started with the following simple facility location allocation problem. The Code in CVXPY is given as: Fi = np.array([1,1,1]) # Fixed cost of each facility Ci = np.array([15, 10,…
Muhammad Asif Khan
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Violated constraint in CVXPY

I have a problem that can sometimes be infeasible. The desired behaviour is relax the constraint that was violated and continue, but alert the user that a constraint was violated. I noticed that CVXPY 1.0 has a new violation() method that looks to…
swmfg
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How to take the square root of quad_form output in CVXPY?

I am trying to solve a problem that involves \sqrt{w^t \Sigma w} in the objective function. To compute w^t \Sigma w, I use the quad_form function. How do I take its square root? When in the code I try to write risk = sqrt(quad_form(w, E)) I am…
Volodymyr Kruglov
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CVXPY takes compilation time for days for MNIST data

Trying to simulate SOCP optimization problem using multiple class SVM for MNIST data. Could see that with solver set to ECOS, cvxpy compilation takes days to complete it. CVXPY …
Sree
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How do I create a conditional asymmetric objective function for regression?

I'm trying to use a conditional asymmetric loss function with a regression model and am having issues. I want to penalize wrong way results but the direction flips depending on the sign of the variable. import numpy as np def…
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