Quadratic constraint

Nonconvex
Jul 22, 2016
M

I want to convexity the third and the fourth constraints which have quadratic terms in x.

M

What are the barred u_i’s ?

There are multiple non-convex-looking things in the 3rd and 4th constraints (having z as a multiplicative factor on the quadratic term in x (even if a >= 0), not to mention the RHS), so I don’t think it’s just a matter of changing how they are entered. Do you wish to change the constraints to different, i.e., non-equivalent, constraints, which therefore make the optimization problem different than the one you entered? If so, that opens up an unlimited number of possibilities.

M
Replying to #2

Yes a >0. I think of fixing x, then the constraints will be convex. After that I do one-dimensional search over x (x=0:.1:1) to find the optimal value of x. But this is computational heavy. So even you change the constraints to equivalents ones, I think, I still will get near-optimal value of the objective function.

M
Replying to #3

You still haven’t said what the u_i bars are. If they are constants, then fine. If they are variables, then the right-hand sides of the 3rd and 4th constraints are not convex, even if x is held constant.

M
Replying to #4

What are the barred is constant, it is the initial value of Taylor approximation of the exponential term. This an iterative program.

M
Replying to #5

The constraints without Taylor approximation are

M

Please read the FAQ. You seem to be working with CVX as if it is a general purpose optimization modeling tool, and it’s not that at all.