I am working with cvxopt matrices in order to use them in picos library. In general I want to take a matrix, evaluate it on a certain vector, subtract something, then take the biggest absolute value of its entries
import picos as pic
import cvxopt as cvx
import numpy as np
(...)
P = pic.Problem()
theta = P.add_variable('theta', size=k, vtype='continuous', lower=-10, upper=10)
theta
P.add_constraint(max(abs(M*theta - b)) <= 5)
P.minimize(theta)
(Here b is some vector treated as cvxopt matrix.) However, the error I get is the following:
TypeError Traceback (most recent call last)
<ipython-input-11-8884e5cb14dc> in <module>
3 theta
4
----> 5 P.add_constraint(max(abs(M*theta - b.T)) < 45)
6 P.minimize(theta)
7
TypeError: 'Norm' object is not iterable
I was wondering if there is an alternative way of making these computations that would be acceptable to cvxopt?
(Never really used this lib apart from smaller experiments years ago)
This looks like the culprit is the classic case of hidden-magic in those highly-complex automatic-transformation modelling system tools.
abs
in abs(M*theta - b)
Norm
(a picos-based type)max
in max(abs(M*theta - b.T))
Norm
object; but it's not iterable as the error showsSee also: list of overloaded operators
It seems to me, this feature max
is missing. You can linearize it manually, but well... that's annoying.
If you don't need something special of picos, cvxpy is very similar and also supports abs
and max
(and is based on scipy's sparse-matrices + numpy-arrays; thank god!).