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Installing Python and CVXPY

Overall requirements:

  • Python 2.7
  • CVXPY

Mac OS X

  • Download Anaconda python from http://continuum.io/downloads

  • Follow the instructions here http://docs.continuum.io/anaconda/install#mac-install

  • Check the terminal, has Anaconda python been added to the path?

  • now from the terminal

  • conda update conda, answer yes

  • conda update --all, answer yes

  • pip install cvxpy

  • From the terminal, run the command ipython notebook

  • Run the following cvxpy code from the notebook:

from cvxpy import *
import numpy

# Problem data.
m = 30
n = 20
numpy.random.seed(1)
A = numpy.random.randn(m, n)
b = numpy.random.randn(m)

# Construct the problem.
x = Variable(n)
objective = Minimize(sum_squares(A*x - b))
constraints = [0 <= x, x <= 1]
prob = Problem(objective, constraints)

# The optimal objective is returned by prob.solve().
result = prob.solve()
# The optimal value for x is stored in x.value.
print x.value
# The optimal Lagrange multiplier for a constraint
# is stored in constraint.dual_value.
print constraints[0].dual_value
  • You should see some vectors as output.

Windows

??

Linux

??