本章主要介绍一些典型优化问题:线性规划、最小二乘问题、复合优化问题、随机优化问题、半定规划、矩阵优化。最后给出了一个凸优化问题的代码示例,使用的是matlab中的cvx工具箱和python中的cvxpy库。
这里主要介绍 cvx 这一工具. Matlab 中使用的是 cvx 工具箱: https://cvxr.com/cvx/. 下面给出代码示例:
m = 20; n = 10; p = 4;
A = randn(m, n); b = randn(m, 1);
C = randn(p, n); d = randn(p, 1); e = rand;
cvx_begin
variable x(n)
minimize(norm(A * x - b, 2))
subject to
C * x == d
norm(x, Inf) <= e
cvx_end
Python 中使用的是 cvxpy 库, 可直接通过 pip install cvxpy 进行安装.
import cvxpy as cp
import numpy as np
m, n, p = 20, 10, 4
np.random.seed(1)
A = np.random.randn(m, n)
b = np.random.randn(m)
C = np.random.randn(p, n)
d = np.random.randn(p)
e = np.random.rand()
x = cp.Variable(n)
objective = cp.Minimize(cp.norm(A @ x - b, 2))
constraints = [
C @ x == d,
cp.norm_inf(x) <= e
]
problem = cp.Problem(objective, constraints)
problem.solve()
print("Optimal value:", problem.value)
print("Optimal x:", x.value)