Convex optimization problem with quadratic inequality constraints

nidyamv · May 31, 2017, 10:12am

Hi all. I was trying to solve a convex optimization problem with quadratic constraints.The constraint X’QX<=0 is showing some error like “Disciplined convex programming error:
Only scalar quadratic forms can be specified in CVX”.Here X is a variable of dimension 4X9 and Q =diag(100,0,0,0).Can someone tell me how i can rectify this?

Mark_L_Stone · May 31, 2017, 5:39pm

This is actually 16 (scalar) inequalities, not all of which are convex.

nidyamv · May 31, 2017, 5:59pm

Thank you for responding Sir…So it is not possible to solve by CVX?Can u please suggest me a solution for this?

Mark_L_Stone · May 31, 2017, 6:15pm

I haven’t seen the entirety of your optimization problem, so I don’t know what reformulation might be possible. But if not, then I think you need to use a nonlinear optimizer which can accept nonlinear constraints, such as, for example, FMINCON, IPOPT, and many others which can be run under MATLAB.

nidyamv · May 31, 2017, 6:35pm

Sir, I am sending you the program i have written for my problem.

Is this clear to you?

Mark_L_Stone · May 31, 2017, 7:04pm

Non-convex. So my previous guidance stands. Good luck.