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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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Multiplying two variables in CVXPY

I'm in need of an LP where you can multiply two non-constants. Here is the following code that I am trying to perform: import cvxpy as cvx a = cvx.Variable() b = cvx.Variable() c = cvx.Variable() obj = cvx.Maximize(((0.4270437386 * a) +…
Alex McLean
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Building diagonal block matrix with some blocks as variable CVXPY

I want to generate a (diagonal) block matrix (preferably sparse) in CVXPY. Some blocks can be eye(m) or anything but I have a block which is: from cvxopt import * import cvxpy as cvx import numpy as np import scipy W = cvx.Variable(m,1) W_diag =…
hoot
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ArithmeticError causing "Rank(A) < p or Rank([G; A]) < n" error in cvxpy

I'm trying to use cvxpy (and hence cvxopt) to model optimal power flow in a relatively simple network with 28 nodes and 37 lines, but getting a "Rank(A) < p or Rank([G; A]) < n" error. (Using the same code, I can find the optimal solution for a much…
mjeppesen
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How to solve integer optimization problem with Python?

I have a system of linear equations Ax=b, A - matrix (m x n), x - (n x 1), b - (m x 1). The matrix A is almost all 0 and contains only ~ n*m^(1/2) non-zero elements. m and n can be quite large, such as n=28680, m=22500 or n=28680, m=62500. It is…
Alex
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Two matrix multiplication operations in CVXPY gives UNKNOWN curvature and makes the problem not DCP

I want to solve the following optimization problem using cvxpy: Maximize(y @ A @ x) where A is a (n,m)-size matrix of positive valued elements; x is boolean vector of is length m; y is boolean vector is length n. The constraints are: sum(x)==1 and…
CodeWanderer
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Python - solving for risk budget portfolio using cvxpy

I'm looking to write a set of code that allows me to set risk budget constraints to individual positions in a portfolio, i.e. each position to contribute a set amount of risk to the portfolio, and I'm looking to do it specifically in CVXPY as I have…
Dazz W
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cvxpy DPP Doesn't Work For Complex Parameter

I need to solve a large number of small convex optimisation problems with the same constraints, so I am trying to use cvxpy's DPP feature to cache/speedup compilation. It doesn't seem to work for my problem containing a single complex matrix…
Calvin Liu
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Python CVXPY matrix variable with fixed elements

I'm trying to use CVXPY to minimize an objective function with a quadratic term A.T @ P @ A with constant matrix P and variable matrix A, both of size n x n. This problem is not convex, but I want only A[0][0] as the variable while every other…
pythonml
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Look-up based objective function in Cvxpy

I'd like to define an objective function based on a lookup table. As an example, we have an integer programming problem (binary) where we can pick one or more actions from a set of actions. Our cvxpy.Variable is: element_vars = [1, 0, 0, 1] …
Sad Vaseb
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cvxpy print constraint equation post optimization

I probably have a very easy question, but I couldn't find an answer online. I have an optimization problem with many constraints. Hence, when the solution is infeasible, I loop through each of the constraints to explore what could have gone wrong.…
Angelo
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Errors in computing the Euclidian distance between point and convex polytope using cvxpy

I am trying to find the euclidian distance between a d-dimensional polytope defined as A x <= b and a point, called point in the code below, that I am certain is outside of the polytope. This is a convex quadratic minimization problem. I would like…
Patrickens
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CVXPY: quasiconvex fractional programming problem with variance term

I have a portfolio optimization problem where my objective function is the mean divided by the standard deviation. The variance is the difference of two random variables so is computed as Var(X) + Var(Y) - 2 * Cov(X, Y). The variance term is…
eadains
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Integer Programming for NNC

I'm trying to implement Integer Programming for Nearest Neighbor Classifier in python using cvxpy. Short intro Given a dataset of n points with a color (red or blue) we would like to choose the minimal number of candidate points, s.t for each point…
Timor
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cvxpy - How to obtain the variable value after each iteration?

I am using cvxpy to solve a second order cone program. I have used the boilerplate code as mentioned in the cvxpy website - cvxpy SOCP webpage. I do not know how to obtain the variable value after each iteration... Code from the link: # Import…
Anirudh Ramesh
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How to properly install qpsolvers for Python on Windows?

I am trying to install qpsolvers using pip. The installation goes without errors, and the module imports properly afterwards. However, qpsolvers has no available solvers for it to use : import qpsolvers print(qpsolvers.available_solvers) returns…
user18496484
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