Timeline for How to solve a QCQP where constraints are balls?
Current License: CC BY-SA 4.0
14 events
| when toggle format | what | by | license | comment | |
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| Nov 15, 2020 at 8:55 | comment | added | Mark L. Stone | The default for CVX is SeDuMi or SDPT3, neither of which are as good as Mosek or Gurobi, which both can be used under CVX. You re probably best off not squaring any of the norms, so as not to square condition numbers. | |
| Nov 15, 2020 at 2:46 | comment | added | Manuel Madeira | I've tried using CVX and I believe it uses one of those. However, it becomes too slow for higher K. That's why I was wondering about a first-order method @MarkL.Stone | |
| Nov 14, 2020 at 18:58 | comment | added | Mark L. Stone | Have you tried a second order (i.e., the "usual" kind) SOCP solver, such as Mosek, Gurobi, CPLEX, or XPRESS? Is it too big to fit in memory? | |
| Nov 13, 2020 at 23:46 | comment | added | Manuel Madeira | @cheyp: K can be arbitrarily large, in fact. But let's assume that it can be as high as 128, for example | |
| Nov 13, 2020 at 23:46 | comment | added | Manuel Madeira | @RodrigodeAzevedo I haven't, but I'm more interested on the type of approach suggested by the next answer. Thank you for your idea anyway | |
| Nov 13, 2020 at 19:45 | comment | added | cheyp | I doubt there can be a closed-form solution for $K \geq 3$. I would rewrite the problem in a saddle point form and then apply some first order method. But you need to give more details: what is the dimension of $\theta_k$, how big is $K$? | |
| Nov 13, 2020 at 18:04 | comment | added | Rodrigo de Azevedo | Have you tried to rewrite in terms of the incidence matrix of the underlying graph? | |
| Nov 13, 2020 at 18:02 | history | edited | Rodrigo de Azevedo | CC BY-SA 4.0 |
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| S Nov 13, 2020 at 14:18 | history | suggested | gmvh |
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| Nov 13, 2020 at 13:53 | review | Suggested edits | |||
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| Nov 13, 2020 at 13:37 | comment | added | Manuel Madeira | Thank you for your question. I've clarified it now. It's the Euclidean norm | |
| Nov 13, 2020 at 13:36 | history | edited | Manuel Madeira | CC BY-SA 4.0 |
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| Nov 13, 2020 at 3:36 | review | First posts | |||
| Nov 13, 2020 at 6:55 | |||||
| Nov 13, 2020 at 3:27 | history | asked | Manuel Madeira | CC BY-SA 4.0 |