Stack Overflow
Stack Overflow

Questions tagged [cvxpy]

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

609 questions
0
votes
0 answers

How to warm start with cvxpy using solver SCS

According to the documentation of cvxpy, http://www.cvxpy.org/en/latest/tutorial/advanced/ there should be a way to warm_start SCS solver using cvxpy. (by the way if anyone knows how warm_start can be done using mosek in cvxpy, that would be…
user2015487
  • 2,075
  • 3
  • 17
  • 20
0
votes
0 answers

Unable to run exe file of a CVXPy code compiled by Pyinstaller

I've wrote a simple code that solves optimization problem using the CVXPy library. from cvxpy import Variable, Minimize, Problem, abs c = [20, 20, 50] k = [-0.25, -0.15, -0.25, -0.35, -0.15, -0.25] xbr_1, xbr_2 = Variable(1), Variable(1) mra_1,…
Premysl Vorac
  • 473
  • 6
  • 16
0
votes
1 answer

Entropy maximization unbounded/infeasible using CVXPY

I am attempting to solve an entropy maximization problem numerically using CVXPY. Even though the problem passes the DCP checks, I keep getting an infinite result, and problem statuses like infeasible and unbounded_inaccurate (depending on the…
ErnChe
  • 1
  • 3
0
votes
1 answer

Maximise the Slope using CVXPY

I'm trying to use CVXPY to maximise the Sharpe Ratio of a stock portfolio. The variable w is a portfolio weight vector, Sigma is an nxn correlation matrix, mu - is the average return of each portfolio stock, and rf - the risk-free rate (a scalar…
maria saz
  • 191
  • 1
  • 10
0
votes
1 answer

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
  • 759
  • 1
  • 9
  • 26
0
votes
1 answer

Python/Installing cvxpy package error - setup.py egg_info with error code 1

I'm trying to install cvxpy on my Mac through pip and through PyCharm and I'm getting the following error: "Command "python setup.py egg_info" failed with error code 1 in /private/tmp/pip-build-azdpOA/CVXcanon/". Would anyone know what's that and…
aabujamra
  • 4,494
  • 13
  • 51
  • 101
0
votes
1 answer

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
  • 207
  • 4
  • 11
0
votes
3 answers

Python: How do i find an equation's value for a given input

Say, I have an equation f(x) = x**2 + 1, I need to find the value of f(2). Easiest way is to create a function, accept a parameter and return the value. But the problem is, f(x) is created dynamically and so, a function cannot be written beforehand…
Sanjay
  • 111
  • 1
  • 9
0
votes
1 answer

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
  • 2,983
  • 3
  • 27
  • 46
0
votes
1 answer

Element wise multiplication in CVXPY

I have the following code snippet for CVXPY: delta=1e-3 loglambda = rvec*theta #rvec: TxJ regressor matrix, theta: (Jx1) cvx variable a= mul_elemwise(dy[0:T],loglambda) # size(Tx1) b1=cvx.exp(loglambda) b2=mul_elemwise(delta,b1) cost= -a + b1 …
Msin
  • 63
  • 2
  • 7
-1
votes
1 answer

constraint of cvxpy: the sum of the min of X and its upper_bound bigger than a const

I want to assign weight to ten different industries to construct a portfolio. But there is a constrain that at least 80% of the industry should come from an index, called ZZ800 index. The ind weights of ZZ800 index are known, for example, the A…
nan
  • 401
  • 4
  • 13
-1
votes
1 answer

Can't install cvxpy in pycharm

So i tried to install cvxpy package in pycharm but the following error occurred: Collecting ecos==2.0.7.post1 Using cached ecos-2.0.7.post1.tar.gz (126 kB) Requirement already satisfied: numpy>=1.6 in d:\programmi…
Antonio Mastroianni
  • 35
  • 1
  • 8
-1
votes
1 answer

optimization comparison between cvxpy and gurobi

There are number of jobs to be assigned to number of resources each with a score (performance indicator) and cost. The resource assignment problem (RAP) objective is to maximize assignment scores considering the budget. Constraints: Each resource…
Mohsen Ghanavati
  • 1
  • 3
-1
votes
1 answer

Extract numbers from CVXPY array

I'm working on an optimization problem using Python's CVXPY package. I created a CVXPY variable called x (an array of 10 values). I need to impose a constraint that the 2nd largest value in x is smaller than .03. I tried converting it to a NumPy…
cona
  • 169
  • 1
  • 13
-1
votes
1 answer

CVXPY - passing both variables and constants

I'm trying to do the following (CVX matlab code): variable x(2) minimize(norm([x;1]) + 2*max([x;0]) But when I try to this in python CVXPY, I get an error: x = Variable(2) norm([x, 1]) TypeError: float() argument must be a string or a number,…
Maverick Meerkat
  • 5,737
  • 3
  • 47
  • 66
1 2 3
…
40
41