Alvaro Mendez Civieta

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Activity overview

Latest activity by Alvaro Mendez Civieta
  • Alvaro Mendez Civieta commented,

    Hello Jaromil, Thank you for your answers. The only bound I know for the weights is the [-1, 1] interval, but after the problem is solved I do not have any prior knowledge of other bounds. Here I p...

  • Alvaro Mendez Civieta commented,

    Hello and thank you for your answer, Yes, the data is generated randomly, but I used different ways of generating different datasets and found the same problem. As I increase the number of variable...

  • Alvaro Mendez Civieta created a post,

    Extremely large computation time in a small non convex problem

    Answered

    I am trying to solve a principal components problem in Gurobi. This problem is defined as: $$ max_w(w^tX^tXw) \quad s.t. \quad \|w\|_2=1 $$ I have programmed the following function that solves this...

  • Alvaro Mendez Civieta created a post,

    How to add L1 norm as a constraint in PCA

    Answered

    I am trying to solve the PCA problem adding an extra \(L_1\) constraint into it. Given a data matrix \(X\), my objective function to solve is  \[max_w{w^tX^tXw} \quad s.t. \quad \|w\|_2=1, \quad \|...

  • Alvaro Mendez Civieta created a post,

    Principal component analysis in Gurobi as a non convex problem. Inaccurate solution

    Answered

    I am programming PCA in Gurobi python as a non convex optimization problem. I know that PCA has an analytical solution much easier to calculate but I am interested in programming this as a first st...

  • Alvaro Mendez Civieta created a post,

    Solving linnear regression in Gurobi python

    Answered

    I am new to gurobi and decided to solve a well known problem as regression. I found this notebook https://gurobi.github.io/modeling-examples/linear_regression/l0_regression.html where an L0 penaliz...