Basic Types

The basic building block of Convex.jl is called an expression, which can represent a variable, a constant, or a function of another expression. We discuss each kind of expression in turn.

Variables

The simplest kind of expression in Convex.jl is a variable. Variables in Convex.jl are declared using the Variable keyword, along with the dimensions of the variable.

# Scalar variable
x = Variable()

# Column vector variable
x = Variable(5)

# Matrix variable
x = Variable(4, 6)

Variables may also be declared as having special properties, such as being

(entrywise) positive: x = Variable(4, Positive())
(entrywise) negative: x = Variable(4, Negative())
integral: x = Variable(4, :Int)
binary: x = Variable(4, :Bin)
(for a matrix) being symmetric, with nonnegative eigenvalues (ie, positive semidefinite): z = Semidefinite(4)

Constants

Numbers, vectors, and matrices present in the Julia environment are wrapped automatically into a Constant expression when used in a Convex.jl expression.

Expressions in Convex.jl are formed by applying any atom (mathematical function defined in Convex.jl) to variables, constants, and other expressions. For a list of these functions, see Operations. Atoms are applied to expressions using operator overloading. For example, 2+2 calls Julia's built-in addition operator, while 2+x calls the Convex.jl addition method and returns a Convex.jl expression. Many of the useful language features in Julia, such as arithmetic, array indexing, and matrix transpose are overloaded in Convex.jl so they may be used with variables and expressions just as they are used with native Julia types.

Expressions that are created must be DCP-compliant. More information on DCP can be found here. :

x = Variable(5)
# The following are all expressions
y = sum(x)
z = 4 * x + y
z_1 = z[1]

Convex.jl allows the values of the expressions to be evaluated directly.

x = Variable()
y = Variable()
z = Variable()
expr = x + y + z
problem = minimize(expr, x >= 1, y >= x, 4 * z >= y)
solve!(problem, SCS.Optimizer)

# Once the problem is solved, we can call evaluate() on expr:
evaluate(expr)

Constraints

Constraints in Convex.jl are declared using the standard comparison operators <=, >=, and ==. They specify relations that must hold between two expressions. Convex.jl does not distinguish between strict and non-strict inequality constraints.

x = Variable(5, 5)
# Equality constraint
constraint = x == 0
# Inequality constraint
constraint = x >= 1

Matrices can also be constrained to be positive semidefinite.

x = Variable(3, 3)
y = Variable(3, 1)
z = Variable()
# constrain [x y; y' z] to be positive semidefinite
constraint = ([x y; y' z] in :SDP)
# or equivalently,
constraint = ([x y; y' z] ⪰ 0)

Objective

The objective of the problem is a scalar expression to be maximized or minimized by using maximize or minimize respectively. Feasibility problems can be expressed by either giving a constant as the objective, or using problem = satisfy(constraints).

Problem

A problem in Convex.jl consists of a sense (minimize, maximize, or satisfy), an objective (an expression to which the sense verb is to be applied), and zero or more constraints that must be satisfied at the solution. Problems may be constructed as

problem = minimize(objective, constraints)
# or
problem = maximize(objective, constraints)
# or
problem = satisfy(constraints)

Constraints can be added at any time before the problem is solved.

# No constraints given
problem = minimize(objective)
# Add some constraint
problem.constraints += constraint
# Add many more constraints
problem.constraints += [constraint1, constraint2, ...]

A problem can be solved by calling solve!

solve!(problem, solver)

passing a solver such as SCS.Optimizer() from the package SCS as the second argument. After the problem is solved, problem.status records the status returned by the optimization solver, and can be :Optimal, :Infeasible, :Unbounded, :Indeterminate or :Error. If the status is :Optimal, problem.optval will record the optimum value of the problem. The optimal value for each variable x participating in the problem can be found in x.value. The optimal value of an expression can be found by calling the evaluate() function on the expression as follows: evaluate(expr).