Right Solver for SCA using Exponential Sets

[mardank (Markus Krantzik)]

Thanks to both of you!
I’m just a bit confused, since in another project they had to use the sdpt3 solver and could not use Mosek to solve the more complex optimization problem.

In general, would it be better to use an exponential set or reformulate the constraints and use something like the relative entropy function? As described in the following post.

Solve optimization problems of exp function

Yes, it can be done, but it’s a bit complicated. Suppose you have a single term y*exp(x/y) that you wish to handle. Then what you do is replace that term with a new variable z, and now you need to add a constraint equivalent to y*exp(x/y) <= z There are two ways to do this. One is to use the exponential cone: { x, y, z } == exponential( 1 ) The other is to use rel_entr: x + rel_entr(y,z) <= 0 You’ll have to do some algebra to confirm that this inequality is equivalent to the first. If you …