CVX, a modeling system for disciplined convex programming 1.2

Michael Grant, Stephen Boyd — Tue, 21 Oct 2008 23:55:08 -0000

CVX is a Matlab-based modeling system for convex optimization. CVX turns Matlab into a modeling language, allowing constraints and objectives to be specified using standard Matlab expression syntax. (Octave support is in development.)

In its default mode, CVX supports a particular approach to convex optimization that we call disciplined convex programming. Under this approach, convex functions and sets are built up from a small set of rules from convex analysis, starting from a base library of convex functions and sets. Constraints and objectives that are expressed using these rules are automatically transformed to a canonical form and solved. For more information on disciplined convex programming, see these resources; for the basics of convex analysis and convex optimization, see the book Convex Optimization.

CVX also supports geometric programming (GP) through the use of a special GP mode. Geometric programs are not convex, but can be made so by applying a certain transformation. In this mode, CVX allows GPs to be constructed in their native, nonconvex form, transforms them automatically to a solvable convex form, and translates the numerical results back to the original problem.

The CVX package includes an extensive user's guide and a growing library of examples to help get you started---including examples from the book "Convex Optimization" by Boyd and Vandenberghe. A browsable version of this library can be found at the CVX web site.

mloss.org CVX, a modeling system for disciplined convex programming

CVX, a modeling system for disciplined convex programming 1.2