Transforms¶
Transforms provide additional ways of manipulating CVXPY objects beyond the atomic functions. While atomic functions operate only on expressions, transforms may also take Problem, Objective, or Constraint objects as input. Transforms do not need to conform to any specific API.
SuppFunc¶
The SuppFunc transform accepts an implicit representation of a convex set in terms of some CVXPY Variable and returns a function handle representing the convex set’s support function. When the function handle is evaluated it returns a SuppFuncAtom object. Such objects can be used like any other CVXPY Expression for purposes of convex optimization modeling.
- class cvxpy.transforms.suppfunc.SuppFunc(x, constraints)[source]¶
Given a list of CVXPY Constraint objects \(\texttt{constraints}\) involving a real CVXPY Variable \(\texttt{x}\), consider the convex set
\[S = \{ v : \text{it's possible to satisfy all } \texttt{constraints} \text{ when } \texttt{x.value} = v \}.\]This object represents the support function of \(S\). This is the convex function
\[y \mapsto \max\{ \langle y, v \rangle : v \in S \}.\]The support function is a fundamental object in convex analysis. It’s extremely useful for expressing dual problems using Fenchel duality.
- Parameters:¶
- x : Variable¶
This variable cannot have any attributes, such as PSD=True, nonneg=True, symmetric=True, etc…
- constraints : list[Constraint]¶
Usually, these are constraints over \(\texttt{x}\), and some number of auxiliary CVXPY Variables. It is valid to supply \(\texttt{constraints = []}\).
Examples
If \(\texttt{h = cp.SuppFunc(x, constraints)}\), then you can use \(\texttt{h}\) just like any other scalar-valued atom in CVXPY. For example, if \(\texttt{x}\) was a CVXPY Variable with \(\texttt{x.ndim == 1}\), you could do the following:
z = cp.Variable(shape=(10,)) A = np.random.standard_normal((x.size, 10)) c = np.random.rand(10) objective = h(A @ z) - c @ z prob = cp.Problem(cp.Minimize(objective), []) prob.solve()Notes
You are allowed to use CVXPY Variables other than \(\texttt{x}\) to define \(\texttt{constraints}\), but the set \(S\) only consists of objects (vectors or matrices) with the same shape as \(\texttt{x}\).
It’s possible for the support function to take the value \(+\infty\) for a fixed vector \(\texttt{y}\). This is an important point, and it’s one reason why support functions are actually formally defined with the supremum “\(\sup\)” rather than the maximum “\(\max\)”. For more information on support functions, check out this Wikipedia page.
- __call__(y) SuppFuncAtom[source]¶
Return an atom representing
max{ cvxpy.vec(y) @ cvxpy.vec(x) : x in S }
where S is the convex set associated with this SuppFunc object.
Scalarize¶
The scalarize transforms convert a list of objectives into a single objective, for example a weighted sum. All scalarizations are monotone in each objective, which means that optimizing over the scalarized objective always returns a Pareto-optimal point with respect to the original list of objectives. Moreover, all points on the Pareto curve except for boundary points can be attained given some weighting of the objectives.
-
scalarize.log_sum_exp(weights, gamma: float =
1.0) Minimize¶ Combines objectives as log_sum_exp of weighted terms.
- The objective takes the form
log(sum_{i=1}^n exp(gamma*weights[i]*objectives[i]))/gamma
As gamma goes to 0, log_sum_exp approaches weighted_sum. As gamma goes to infinity, log_sum_exp approaches max.
-
scalarize.targets_and_priorities(priorities, targets, limits=
None, off_target: float =1e-05) Minimize | Maximize¶ Combines objectives with penalties within a range between target and limit.
For nonnegative priorities, each Minimize objective i has value
off_target*objectives[i] when objectives[i] < targets[i]
(priorities[i]-off_target)*objectives[i] when targets[i] <= objectives[i] <= limits[i]
+infinity when objectives[i] > limits[i]
and each Maximize objective i has value
off_target*objectives[i] when objectives[i] > targets[i]
(priorities[i]-off_target)*objectives[i] when targets[i] >= objectives[i] >= limits[i]
-infinity when objectives[i] < limits[i]
A negative priority flips the objective sense, i.e., we use -objectives[i], -targets[i], and -limits[i] with abs(priorities[i]).
Other¶
Here we list other available transforms.
-
class cvxpy.transforms.indicator(constraints: list[Constraint], err_tol: float =
0.001)[source]¶ - An expression representing the convex function I(constraints) = 0
if constraints hold, +infty otherwise.
- transforms.linearize()¶
Returns an affine approximation to the expression computed at the variable/parameter values.
Gives an elementwise lower (upper) bound for convex (concave) expressions that is tight at the current variable/parameter values. No guarantees for non-DCP expressions.
If f and g are convex, the objective f - g can be (heuristically) minimized using the implementation below of the convex-concave method:
for iters in range(N): Problem(Minimize(f - linearize(g))).solve()Returns None if cannot be linearized.
-
partial_optimize.partial_optimize(opt_vars: list[Variable] | None =
None, dont_opt_vars: list[Variable] | None =None, solver=None, **kwargs) PartialProblem¶ Partially optimizes the given problem over the specified variables.
Either opt_vars or dont_opt_vars must be given. If both are given, they must contain all the variables in the problem.
Partial optimize is useful for two-stage optimization and graph implementations. For example, we can write
x = Variable(n) t = Variable(n) abs_x = partial_optimize(Problem(Minimize(sum(t)), [-t <= x, x <= t]), opt_vars=[t])to define the entrywise absolute value of x.
- Parameters:¶
- prob : Problem
The problem to partially optimize.
- opt_vars : list, optional¶
The variables to optimize over.
- dont_opt_vars : list, optional¶
The variables to not optimize over.
- solver : str, optional¶
The default solver to use for value and grad.
- kwargs : keywords, optional¶
Additional solver specific keyword arguments.
- Returns:¶
An expression representing the partial optimization. Convex for minimization objectives and concave for maximization objectives.
- Return type:¶