Tuesday, November 27, 2018

Geometric programming preview

Geometric programs (GP) can be conveniently expressed in conic form using the exponential cone
$$ x\geq y\exp(z/y),\quad y>0$$
in the upcoming version 9 of MOSEK. Here is a preview implementation of some signal-to-interference-and-noise optimization problems in Python Fusion:

The key log-sum-exp constraint is just a few lines:

You can read more about modeling GPs in our Modeling Cookbook:

MOSEK's previous GP interface (scopt/dgopt/expopt), which is being phased out, relied on the slower and less accurate general nonlinear optimizer. You can read more about version 9 plans in