Pseudo-inverse in CVXPY?
I'm trying to minimize the following objective using CVXPY. This is how I would write the objective using numpy:
objective = np.trace(np.pinv(A))
where A = cvxpy.Variable((n,n)). Note that I want the pseudo inverse. Say, in an easy case where A is diagonal with positive eigenvalues, tr(pinv(A)) > tr(pinv(A[:k, :k])) for all k < n.
I tried using cvx.MatrixFrac(np.eye(n), A), but it constrains A to be invertible which I don't need, and therefore gets a value that's too high.
python cvxpy
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
add a comment |
I'm trying to minimize the following objective using CVXPY. This is how I would write the objective using numpy:
objective = np.trace(np.pinv(A))
where A = cvxpy.Variable((n,n)). Note that I want the pseudo inverse. Say, in an easy case where A is diagonal with positive eigenvalues, tr(pinv(A)) > tr(pinv(A[:k, :k])) for all k < n.
I tried using cvx.MatrixFrac(np.eye(n), A), but it constrains A to be invertible which I don't need, and therefore gets a value that's too high.
python cvxpy
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
add a comment |
I'm trying to minimize the following objective using CVXPY. This is how I would write the objective using numpy:
objective = np.trace(np.pinv(A))
where A = cvxpy.Variable((n,n)). Note that I want the pseudo inverse. Say, in an easy case where A is diagonal with positive eigenvalues, tr(pinv(A)) > tr(pinv(A[:k, :k])) for all k < n.
I tried using cvx.MatrixFrac(np.eye(n), A), but it constrains A to be invertible which I don't need, and therefore gets a value that's too high.
python cvxpy
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
I'm trying to minimize the following objective using CVXPY. This is how I would write the objective using numpy:
objective = np.trace(np.pinv(A))
where A = cvxpy.Variable((n,n)). Note that I want the pseudo inverse. Say, in an easy case where A is diagonal with positive eigenvalues, tr(pinv(A)) > tr(pinv(A[:k, :k])) for all k < n.
I tried using cvx.MatrixFrac(np.eye(n), A), but it constrains A to be invertible which I don't need, and therefore gets a value that's too high.
python cvxpy
python cvxpy
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
edited Nov 26 '18 at 18:09
geoffn91
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
asked Nov 26 '18 at 7:48
geoffn91geoffn91
114113
114113
add a comment |
add a comment |
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