Skip to content

Implement exponential cone constraints #81

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Closed
migarstka opened this issue Apr 26, 2019 · 1 comment
Closed

Implement exponential cone constraints #81

migarstka opened this issue Apr 26, 2019 · 1 comment
Labels
enhancement New feature or request help wanted Extra attention is needed

Comments

@migarstka
Copy link
Member

migarstka commented Apr 26, 2019

I think we should implement exponential cone constraints:
K_exp = {(x, y, z) | y > 0, y exp( x / y) <= z } U {(x, y, z) | x <= 0, y = 0, z >= 0}

After a quick look at [Parikh, Proximal Algorithms, p.184] it doesn't seem to be too difficult to implement. It would, however, allow us to solve a variety of new problems:

  • exponential constraints t >= exp(x)
  • logarithm constraints t <= log(x)
  • entropy problems t <= - x log(x)
  • logistic regression

for more examples:
https://yalmip.github.io/tutorial/exponentialcone/

https://docs.mosek.com/modeling-cookbook/expo.html

@migarstka migarstka added enhancement New feature or request help wanted Extra attention is needed labels Apr 26, 2019
@migarstka
Copy link
Member Author

implemented in 44cc8b3

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
enhancement New feature or request help wanted Extra attention is needed
Projects
None yet
Development

No branches or pull requests

1 participant