A General System for Heuristic Solution of Convex Problems over Nonconvex Sets [article]

Steven Diamond, Reza Takapoui, Stephen Boyd
2016 arXiv   pre-print
We describe general heuristics to approximately solve a wide variety of problems with convex objective and decision variables from a nonconvex set. The heuristics, which employ convex relaxations, convex restrictions, local neighbor search methods, and the alternating direction method of multipliers (ADMM), require the solution of a modest number of convex problems, and are meant to apply to general problems, without much tuning. We describe an implementation of these methods in a package
more » ... NCVX, as an extension of CVXPY, a Python package for formulating and solving convex optimization problems. We study several examples of well known nonconvex problems, and show that our general purpose heuristics are effective in finding approximate solutions to a wide variety of problems.
arXiv:1601.07277v1 fatcat:lqlfa3phgve4xkeq345auzuxjm