import cvxpy as cp
import numpy as np
n = 3
PP = cp.Variable((n,n),"PP")
KK = [[2,1,3],[1,2,1],[3,1,2]]
s = np.array([[.1, .4, .5]]).T
t = np.array([[.4, .2, .4]]).T
e = np.ones((n,1))
x = PP.T@e - s
y = PP@e - t
for b in range(1,21):
obj = (1/4/b) * (cp.quad_form(x,KK) + cp.quad_form(y,KK)) - cp.trace(KK@PP)
prob = cp.Problem(cp.Minimize(obj),[PP>=0,cp.sum(PP)==1])
obj=prob.solve()
print("status:",prob.status)
print("obj:",obj)
print(PP.value)
当我运行这个时，我得到
cvxpy.error.DCPError: Problem does not follow DCP rules. Specifically:
The objective is not DCP. Its following subexpressions are not:
QuadForm(PP.T * [[1.]
[1.]
[1.]] + -[[0.1]
[0.4]
[0.5]], [[2. 1. 3.]
[1. 2. 1.]
[3. 1. 2.]])
当我的矩阵 KK 明显是 PSD 时，我不明白为什么会出现此错误。为什么会这样？
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