cvxpy - 如何在 cvxpy 中使用带双变量的 warm_start

Question

如何在 cvxpy 中设置对偶变量的起始猜测？对于正常的单值问题，解决方案是

x.value = 1/2

对于双变量问题，这将如何完成？

代码示例

import cvxpy as cp

# Create two scalar optimization variables.
x = cp.Variable()
y = cp.Variable()

# Create two constraints.
constraints = [x + y == 1,
               x - y >= 1]

# Form objective.
obj = cp.Minimize((x - y)**2)

# Form and solve problem.
prob = cp.Problem(obj, constraints)

# This is the way I amagine but it does not work
constraints[0].dual_value = 3
prob.solve()

# The optimal dual variable (Lagrange multiplier) for
# a constraint is stored in constraint.dual_value.
print("optimal (x + y == 1) dual variable", constraints[0].dual_value)
print("optimal (x - y >= 1) dual variable", constraints[1].dual_value)
print("x - y value:", (x - y).value)

标签： cvxpy

Answer 1

CVXPY 目前不支持初始猜测，既不支持原始变量，也不支持对偶变量。