Decision variable in CVX more than 2x2 using Gurobi solver

回答済み

B HARI KIRAN REDDY

2024年01月24日 21:48

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Hi,

I am using Gurobi as a solver inside CVX using MATLAB. I have a question regarding the size of the decision variable that can be used. Gurobi does not allow me to use more than 2x2. Can I extend this to more than 2x2 (say 10x10) to solve my optimization problem? Just so you know, CVX default solvers like Sedumi, and SDPT3 can solve more than 2x2-sized variables. However, I would want to use Gurobi as there will be some mixed-integer variables along the process of my optimization problem formulation.

 

Regards,

Hari Kiran Reddy

関連

• CVX

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  Riley Clement

  • Gurobi Staff

  2024年01月27日 11:53

  Hi Hari,

  Your formulation will be transformed into a SDP by CVX.  Both SeDuMi and SDPT3 are built for the purpose of being SDP solvers, so it is no surprise they can solve this problem (with continuous variables).  A list of all solvers supporting SDPs can be found on this page: https://www.cvxpy.org/tutorial/advanced/index.html

  Gurobi does not currently solve SDPs, but our development team will consider this feature in the future.  It is worth keeping in mind that we have a strong commercial focus which guides our development.

  Kind Regards,
  Riley

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