CVX (solver: MOSEK) solved my GP problem but returns infeasible solution

Uncategorized
Feb 6, 2015
N

Here is a copy of my code:::

const = 40;
cvx_begin gp 
variables b(n,1) epsilon
M = diag(b)*A + d;
Mhat = M;
for k = 1: r-1
    Mhat = Mhat*M;
end
S2 = sum(Mhat,2);
maximize epsilon
subject to
    S2 + epsilon*ones(n,1) <= const*ones(n,1);
    sum(1/b2)<= 100; 
    b_lower*ones(n,1) <= b2 <= b_upper*ones(n,1);
cvx_end

It shows that my problem is solved, but the solution is infeasible. I checked it by plugging in the returned optimal b into M, and the first constraint is violated.

M

There’s not much we can offer you here since it is impossible to reproduce your results without the data.

M

Wait, are you talking about M = diag(b)*A +d? That’s not a constraint, that’s an assignment. Use == instead of =.