CVXGEN: Code Generation for Convex Optimization

Objectives

You can minimize a convex expression, or maxmize a concave expression. You can specify the objective by placing an expression after the relevant direction.

An example:

minimize
quad(x, Q) + p'*x
end

CVXGEN will generate an error unless Q is psd and all symbols have appropriate dimensions.

Another example:

maximize
sum[i=1..5](sum(x[i]))
end