rand('state',0);
n = 10;
m = 100;
atrue = rand(n,1);
btrue = rand;
u = rand(n,m);
mu = atrue'*u + btrue;
L = exp(-mu);
ns = ceil(max(10*mu));
y = sum(cumprod(rand(ns,m))>=L(ones(ns,1),:));
cvx_begin
variables a(n) b(1)
maximize sum(y.*log(a'*u+b) - (a'*u+b))
cvx_end
Successive approximation method to be employed.
sedumi will be called several times to refine the solution.
Original size: 287 variables, 184 equality constraints
92 exponentials add 736 variables, 460 equality constraints
-----------------------------------------------------------------
Cones | Errors |
Mov/Act | Centering Exp cone Poly cone | Status
--------+---------------------------------+---------
92/ 92 | 1.956e+00 2.599e-01 4.761e-07 | Solved
92/ 92 | 2.430e-01 4.217e-03 8.012e-07 | Solved
89/ 90 | 1.412e-02 1.426e-05 7.649e-07 | Solved
0/ 5 | 1.121e-03 5.021e-08 2.643e-07 | Solved
-----------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +102.57