问题不符合CVXPY中的DCP规则 [英] Problem does not follow DCP rules in CVXPY

问题描述

问题不遵循 DCP 规则"发生在目标函数上，但在数学上这是凸的(我证明了)，当我将同样的问题应用于 CVXOPT 时，它起作用了.

"Problem does not follow DCP rules" happens at the objective function but mathematically this is convex (I proved) and when I applied the same problem to CVXOPT, it worked.

我不知道应该修改什么.

I don't know what I should modify.

x = cp.Variable(data_length)
obj = cp.Minimize((-mu_hat @ x)**2*cp.quad_form(x, covar))

constraints = [sum(x) == 1,  x <= [bounds[i][1] for i in range(len(bounds))], x >= [bounds[i][0] for i in range(len(bounds))]]

prob = cp.Problem(obj, constraints)

prob.solve()

cvxpy.error.DCPError:问题未遵循DCP规则.

cvxpy.error.DCPError: Problem does not follow DCP rules.

推荐答案

严格的凸编程不允许两个凸表达式相乘.你有

Disciplined convex programming does not allow multiplying two convex expressions. You have

(-mu_hat @ x)**2

和

cp.quad_form(x, covar)

都是凸的.也许您打算添加它们?您是如何提出cvxopt问题的?

which are both convex. Maybe you meant to add them? How did you formulate the problem for cvxopt?

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