'Tranform a constraint in Mosek
I have to solve the following optimisation problem in R Mosek:
This is a convex constraint which can be transformed into the intersection of 2^N-1 cone constraints and one half space:
This is unfeasible in my actual case because N=50. What can I do? Is it my problem impossible to be solved (with R Mosek)?
Edit following the answer:
Is it my constraint
equivalent to
Solution 1:[1]
Update: See the comments first.
It is a log sum exp constraint that can easily be dealt with. Indeed your first constraint is equivalent to
\begin{array}{rcl}
\log{\sum_{i=0}^n e^{t_i}} & \leq & s, \\
t_0 & = & 0, \\
b_i^Tx-c_i - t_i & = & 0, \\
s & = & n\log{2}. \\
\end{array}
PS. I could not get the math formatting to work.
Sources
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Source: Stack Overflow
| Solution | Source |
|---|---|
| Solution 1 |




