Python 如何在CVXPY中设置半正参数(矩阵)?
我想使用“热启动”通过设置cvx.参数来检查是否有性能优势,同时我了解以下内容:Python 如何在CVXPY中设置半正参数(矩阵)?,python,cvxpy,Python,Cvxpy,我想使用“热启动”通过设置cvx.参数来检查是否有性能优势,同时我了解以下内容: cvxpy.error.DCPError: Problem does not follow DCP rules. 我的代码在这里: import time import numpy as np import cvxpy as cvx m = 300 x = cvx.Variable((m, 1)) p_cov = cvx.Parameter((m, m)) prob = cvx.Problem(cvx.Ma
cvxpy.error.DCPError: Problem does not follow DCP rules.
我的代码在这里:
import time
import numpy as np
import cvxpy as cvx
m = 300
x = cvx.Variable((m, 1))
p_cov = cvx.Parameter((m, m))
prob = cvx.Problem(cvx.Maximize(-cvx.quad_form(x, p_cov)), [x>=0, cvx.sum(x)==1])
for _ in range(10):
df_return = np.random.randn(m, m+1)
cov = np.cov(df_return)
p_cov.value = cov
t1 = time.time()
prob.solve(warm_start=True)
t2 = time.time()
print("Solve time:", round(t2-t1, 2))
我想重点是p_cov应该是一个半正矩阵,但我就是解不出来。期待您的帮助,谢谢 你说得对!你只需要告诉cvxpy,
p_-cov
是半正定的
p_cov = cvx.Parameter((m, m), PSD=True)
DCP现在可以计算此表达式的正确性质:
cvx.quad_form(x, p_cov)
即:
Expression(CONVEX, NONNEGATIVE, (1, 1))
而不是:
Expression(UNKNOWN, UNKNOWN, (1, 1))
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