Section 7.1.1: Counting problems with Poisson distribution

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% Boyd & Vandenberghe "Convex Optimization"
% Joëlle Skaf - 04/24/08
%
% The random variable y is nonnegative and integer valued with a Poisson
% distribution with mean mu > 0. In a simple statistical model, the mean mu
% is modeled as an affine function of a vector u: mu = a'*u + b.
% We are given a number of observations which consist of pairs (u_i,y_i),
% i = 1,..., m, where y_i is the observed value of y for which the value of
% the explanatory variable is u_i. We find a maximum likelihood estimate of
% the model parameters a and b from these data by solving the problem
%           maximize    sum_{i=1}^m (y_i*log(a'*u_i + b) - (a'*u_i + b))
% where the variables are a and b.

% Input data
rand('state',0);
n = 10;
m = 100;
atrue = rand(n,1);
btrue = rand;

u = rand(n,m);
mu = atrue'*u + btrue;

% Generate random variables y from a Poisson distribution
% (The distribution is actually truncated at 10*max(mu) for simplicity)
L  = exp(-mu);
ns = ceil(max(10*mu));
y  = sum(cumprod(rand(ns,m))>=L(ones(ns,1),:));

% Maximum likelihood estimate of model parameters
cvx_begin
    variables a(n) b(1)
    maximize sum(y.*log(a'*u+b) - (a'*u+b))
cvx_end

 
Calling Mosek 9.1.9: 276 variables, 103 equality constraints
   For improved efficiency, Mosek is solving the dual problem.
------------------------------------------------------------

MOSEK Version 9.1.9 (Build date: 2019-11-21 11:32:15)
Copyright (c) MOSEK ApS, Denmark. WWW: mosek.com
Platform: MACOSX/64-X86

Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 103             
  Cones                  : 92              
  Scalar variables       : 276             
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer started.
Presolve started.
Linear dependency checker started.
Linear dependency checker terminated.
Eliminator started.
Freed constraints in eliminator : 0
Eliminator terminated.
Eliminator - tries                  : 1                 time                   : 0.00            
Lin. dep.  - tries                  : 1                 time                   : 0.00            
Lin. dep.  - number                 : 0               
Presolve terminated. Time: 0.00    
Problem
  Name                   :                 
  Objective sense        : min             
  Type                   : CONIC (conic optimization problem)
  Constraints            : 103             
  Cones                  : 92              
  Scalar variables       : 276             
  Matrix variables       : 0               
  Integer variables      : 0               

Optimizer  - threads                : 8               
Optimizer  - solved problem         : the primal      
Optimizer  - Constraints            : 11
Optimizer  - Cones                  : 92
Optimizer  - Scalar variables       : 276               conic                  : 276             
Optimizer  - Semi-definite variables: 0                 scalarized             : 0               
Factor     - setup time             : 0.00              dense det. time        : 0.00            
Factor     - ML order time          : 0.00              GP order time          : 0.00            
Factor     - nonzeros before factor : 66                after factor           : 66              
Factor     - dense dim.             : 0                 flops                  : 2.48e+04        
ITE PFEAS    DFEAS    GFEAS    PRSTATUS   POBJ              DOBJ              MU       TIME  
0   1.1e+02  1.3e+00  3.6e+02  0.00e+00   7.616113271e+01   -2.833959046e+02  1.0e+00  0.00  
1   2.9e+01  3.3e-01  1.1e+02  -5.94e-01  1.550210526e+02   -4.189329868e+01  2.5e-01  0.01  
2   3.5e+00  4.1e-02  7.0e+00  3.09e-01   1.198643925e+02   8.648608850e+01   3.1e-02  0.01  
3   5.2e-01  6.0e-03  4.0e-01  9.14e-01   1.053451377e+02   1.002211740e+02   4.7e-03  0.01  
4   6.2e-02  7.1e-04  1.6e-02  9.88e-01   1.029113145e+02   1.023014247e+02   5.5e-04  0.01  
5   8.1e-03  9.2e-05  7.7e-04  9.99e-01   1.026144680e+02   1.025351494e+02   7.2e-05  0.01  
6   1.0e-03  1.2e-05  3.5e-05  1.00e+00   1.025759070e+02   1.025658467e+02   9.1e-06  0.01  
7   3.8e-04  4.4e-06  7.7e-06  1.00e+00   1.025722038e+02   1.025684382e+02   3.4e-06  0.01  
8   1.9e-05  2.2e-07  8.5e-08  1.00e+00   1.025704546e+02   1.025702675e+02   1.7e-07  0.01  
9   4.5e-06  5.2e-08  9.6e-09  1.00e+00   1.025703884e+02   1.025703441e+02   4.0e-08  0.01  
10  3.1e-07  3.5e-09  1.7e-10  1.00e+00   1.025703707e+02   1.025703677e+02   2.7e-09  0.01  
11  2.9e-07  3.4e-09  1.6e-10  1.00e+00   1.025703707e+02   1.025703678e+02   2.6e-09  0.02  
12  2.9e-07  3.4e-09  1.6e-10  9.99e-01   1.025703707e+02   1.025703678e+02   2.6e-09  0.02  
13  2.8e-07  3.2e-09  1.5e-10  1.00e+00   1.025703706e+02   1.025703679e+02   2.5e-09  0.02  
14  2.8e-07  3.1e-09  1.4e-10  1.00e+00   1.025703706e+02   1.025703679e+02   2.4e-09  0.02  
15  2.8e-07  3.1e-09  1.4e-10  1.00e+00   1.025703706e+02   1.025703679e+02   2.4e-09  0.02  
16  7.1e-08  1.9e-09  6.8e-11  1.00e+00   1.025703701e+02   1.025703685e+02   1.5e-09  0.02  
17  7.0e-08  1.9e-09  6.7e-11  1.00e+00   1.025703701e+02   1.025703685e+02   1.5e-09  0.02  
18  7.0e-08  1.9e-09  6.7e-11  1.00e+00   1.025703701e+02   1.025703685e+02   1.5e-09  0.02  
19  6.1e-08  1.9e-09  6.5e-11  1.00e+00   1.025703702e+02   1.025703685e+02   1.4e-09  0.02  
20  6.1e-08  1.9e-09  6.4e-11  1.00e+00   1.025703702e+02   1.025703686e+02   1.4e-09  0.02  
21  5.9e-08  1.8e-09  6.2e-11  1.00e+00   1.025703701e+02   1.025703685e+02   1.4e-09  0.02  
22  5.9e-08  1.8e-09  6.2e-11  1.00e+00   1.025703701e+02   1.025703685e+02   1.4e-09  0.02  
23  5.9e-08  1.8e-09  6.2e-11  1.00e+00   1.025703701e+02   1.025703685e+02   1.4e-09  0.02  
24  2.1e-08  5.4e-10  9.9e-12  1.00e+00   1.025703696e+02   1.025703692e+02   4.1e-10  0.02  
Optimizer terminated. Time: 0.03    


Interior-point solution summary
  Problem status  : PRIMAL_AND_DUAL_FEASIBLE
  Solution status : OPTIMAL
  Primal.  obj: 1.0257036964e+02    nrm: 1e+02    Viol.  con: 3e-08    var: 0e+00    cones: 4e-08  
  Dual.    obj: 1.0257036918e+02    nrm: 2e+00    Viol.  con: 0e+00    var: 0e+00    cones: 0e+00  
Optimizer summary
  Optimizer                 -                        time: 0.03    
    Interior-point          - iterations : 24        time: 0.02    
      Basis identification  -                        time: 0.00    
        Primal              - iterations : 0         time: 0.00    
        Dual                - iterations : 0         time: 0.00    
        Clean primal        - iterations : 0         time: 0.00    
        Clean dual          - iterations : 0         time: 0.00    
    Simplex                 -                        time: 0.00    
      Primal simplex        - iterations : 0         time: 0.00    
      Dual simplex          - iterations : 0         time: 0.00    
    Mixed integer           - relaxations: 0         time: 0.00    

------------------------------------------------------------
Status: Solved
Optimal value (cvx_optval): +102.57