Python中支持Convex Optimization(凸规划)的模块为CVXOPT,其安装方式为:
之所以选择这种安装方式,是因为Python的whl和pip直接install的不兼容性。
CVXOPT的官方说明文档网址为:http://cvxopt.org/index.html, 现最新版本为1.1.9,由Martin Andersen, Joachim Dahl 和Lieven Vandenberghe共同开发完成,能够解决线性规划和二次型规划问题,其应用场景如SVM中的Hard Margin SVM.
CVXOPT使用举例如下:
线性规划问题
例1:
![](//upload-images.jianshu.io/upload_images/9419034-6210ca566db58153.png?imageMogr2/auto-orient/strip%7CimageView2/2/w/1240)
Python程序代码:
import numpy as np
from cvxopt import matrix, solvers
A = matrix([[-1.0, -1.0, 0.0, 1.0], [1.0, -1.0, -1.0, -2.0]])
b = matrix([1.0, -2.0, 0.0, 4.0])
c = matrix([2.0, 1.0])
sol = solvers.lp(c,A,b)
print(sol['x'])
print(np.dot(sol['x'].T, c))
print(sol['primal objective'])
输出结果:
pcost dcost gap pres dres k/t
0: 2.6471e+00 -7.0588e-01 2e+01 8e-01 2e+00 1e+00
1: 3.0726e+00 2.8437e+00 1e+00 1e-01 2e-01 3e-01
2: 2.4891e+00 2.4808e+00 1e-01 1e-02 2e-02 5e-02
3: 2.4999e+00 2.4998e+00 1e-03 1e-04 2e-04 5e-04