How to get squre root of QuadExpr

回答済み

wang xiang

• 2021年10月09日 01:50

This is a mean-variance  optimization problem, where w is a vector of n*1, Omiga is a covariance matrix of n*n. in this problem,I can't get the

code is as follows,

vars_risk=m.addVar(obj=1,vtype=GRB.CONTINUOUS,name='risk')
om=np.multiply(sigma,np.identity(n))
om_risk=om.dot(vars).dot(vars)
objectfun= portfolio_return - lambda1/2*portfolio_risk - k*vars_risk
m.setObjective(objectfun, GRB.MAXIMIZE)
m.addGenConstrPow( om_risk, vars_risk,0.5 )

AttributeError: 'gurobipy.QuadExpr' object has no attribute '__cindex__'

 

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  Simranjit Kaur

  Gurobi Staff

  • 2024年12月06日 00:24

  This post is more than three years old. Some information may not be up to date. For current information, please check the Gurobi Documentation or Knowledge Base. If you need more help, please create a new post in the community forum. Or why not try our AI Gurobot?.
• 

  wang xiang

  • 2021年10月09日 02:58

  

  

  

  is put as

  

  0
• 

  Jaromił Najman

  Gurobi Staff

  • 2021年10月11日 07:27

  The addGenConstrPow method requires a single variable as xvar argument and not a QuadExpr object. Thus, you need to introduce an additional optimization variable and an additional equality constraint.

  aux_var = m.addVar(vtype=GRB.CONTINUOUS, name="aux_var")
  m.addConstr(om_risk == add_var, name="aux_eq")
  m.addGenConstrPow(aux_var, vars_risk, 0.5)

  Best regards,
  Jaromił

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