凸优化：python解决凸优化问题

1、安装CVX包 
用pip安装cvxopt-1.2.1-cp36-cp36m-win_amd64.whl和cvxpy-1.0.9-cp36-cp36m-win_amd64.whl

因为我是python3.6所以是cp36

下载地址： 

cvxpy: 
https://www.lfd.uci.edu/~gohlke/pythonlibs/#cvxpy

cvxopt: 
https://www.lfd.uci.edu/~gohlke/pythonlibs/#cvxopt

参考：https://blog.csdn.net/YEN_CSDN/article/details/80658452

https://blog.csdn.net/zhangjie19930729/article/details/54022924

2、遇到问题：

error: Microsoft Visual C++ 14.0 is required. Get it with "Microsoft Visual C++ Build Tools": http://landinghub.visualstudio.com/visual-cpp-build-tools

网址上不去，找到了这个:

https://www.lfd.uci.edu/~gohlke/pythonlibs/

下载ecos：

https://www.lfd.uci.edu/~gohlke/pythonlibs/#ecos

验证是否安装成功，可以用一个例子：

from cvxpy import *
import cvxpy as cvx

'''
problem :
minimize (x-y)^2
subject to
        x+y=1
        x-y>=1
'''
from cvxpy import *
# Create two scalar optimization variables.
# 在CVXPY中变量有标量(只有数值大小)，向量，矩阵。
# 在CVXPY中有常量(见下文的Parameter)
x = Variable() #定义变量x,定义变量y。两个都是标量
y = Variable()
# Create two constraints.
#定义两个约束式
constraints = [x + y == 1,
              x - y >= 1]
#优化的目标函数
obj = Minimize(square(x - y))
#把目标函数与约束传进Problem函数中
prob = Problem(obj, constraints)
prob.solve()  # Returns the optimal value.
print("status:", prob.status)
print("optimal value", prob.value) #最优值
print("optimal var", x.value, y.value) #x与y的解
# Replace the objective. 不同的目标函数，相同的约束
prob2 = cvx.Problem(cvx.Maximize(x + y), prob.constraints)
print("optimal p1 value", prob2.solve())

# Replace the constraint (x + y == 1).#不同的约束，相同的目标函数
constraints = [x + y <= 3] + prob.constraints[1:] #注意：此处是列表相加，prob.constraints[1:]取prob的约束集中
#从第二个开始的所有约束。
prob2 = cvx.Problem(prob.objective, constraints)
print("optimal P2 value", prob2.solve())