How to express a function satisfies DCP?

Uncategorized
Feb 20, 2017
K

I have a function that is
\sum_{i} \[ \log(x_{i}+A_{i}) - \log(x_{i}+B_{i})\]
where x_{i} is the ith element of a vector X, and A and B are some constant vectors, we also have A_{i} \leq B_{i} for all i.
This a concave function. I want to maximize it.
But it is the form of concave function - concave function.
I tried to figure it out, but I do not find a proper way.

M

It’s not clear to me that CVX can handle this.

K
Replying to #3

Thanks, Michael.
Just a suggestion, I searched the forum, I found someone they have the same problem like me.
For scaler x or a vector \mathbf{x}, \log(1+\frac{1}{x}) or \sum_{i} \log(1+\frac{1}{x_{i}}) where x_{i} is the i-th element of \mathbf{x}, it is a concave function.
Do you mind adding it to functions of CVX?
Thanks again for your answer. Probably I have to use the other tools to solve this problem.
Best regards,
Ke

M

As the FAQ discusses, you can’t simply add a new function to CVX, even if it is convex. If it cannot be expressed according to existing DCP rules, there’s simply no way CVX can handle it.

M
Replying to #5

I think the OP is making a request to have such a function added to CVX by the developer, such that CVX will do whatever problem reformualtions are needed to make it work, rather than requiring the user to use rel_entr.

M

That’s just it, I don’t think such reformulations exist in this case.

M
Replying to #7

x*log(1+y/x) can be reformualted to be accepted by CVX, as you showed in Perspective function .

M

Of course. But can this be used to formulate the exact function requested here?

M
Replying to #9

I interpreted as fulfilling the first of the listed functions in the extract below. I think such a suggestion has been made previously on this forum, and it has been noted that it seems to arise a lot.

That would still leave the OP out of luck on the function in the first post of this thread.

M

Fair enough. My interpretation was that the OP mistakenly thought that the x\log(1+1/x) case could be adapted to theirs.