I have a convex problem that I can run in CVX with either one of a set of two constraints:
either
vec1<=0;
or
vec2<=0;
What I would really like to do is to have CVX put these together with an “or” or somethings similar to:
(vec1<=0 | vec2<=0)
Is this possible? I have tried using min and max formulations, but min(convex,convex) is not viable.
Please provide a larger code segment so that we see what you’re really trying to do.
Depending on what you’re trying to do, there may be a formulation using CVX Professional’s mixed integer capability.
You do understand, I hope, that combining the problems in this manner produces as non-convex problem. In my view, the right thing to do is keep them separate, and run both. After all, that’s what a mixed-integer formulation is going to do anyway.
If you can provide upper bounds for vec1 and vec2 as well, then it will be possible to combine them into a mixed-integer model. But again, that will really not be any more efficient than evaluating the two of them.