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This document defines a convex optimization problem that minimizes the dot product of a vector x and vector p, subject to x being a probability vector (its elements sum to 1 and are non-negative) and x satisfying the quadratic constraint that x'A*x is less than the scalar b, where A is a diagonal matrix and b is a scalar.

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monicaedu
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61 views1 page

Eg5 PDF

This document defines a convex optimization problem that minimizes the dot product of a vector x and vector p, subject to x being a probability vector (its elements sum to 1 and are non-negative) and x satisfying the quadratic constraint that x'A*x is less than the scalar b, where A is a diagonal matrix and b is a scalar.

Uploaded by

monicaedu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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A = diag([10,12,13]);

b = 10;
p = [4;5;6];
cvx_begin
variables x(3)
minimize (x'*p)
x'*A*x < b
sum(x) == 1
x >= 0
cvx_end

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