CVXGEN: Code Generation for Convex Optimization

Problem specification

Specify your optimization problem using a single block of text. Here is the general structure:

dimensions
  # Zero or more dimensions for use in the rest of the specification.
end

parameters
  # Zero or more parameters, to be filled with problem data at solve time.
end

variables
  # One or more optimization variables.
end

minimize
  # An optional objective.
subject to
  # Zero or more constraints.
end

Notes

You can use maximize instead of minimize.
The dimensions, parameters and variables blocks can be repeated.
The dimensions and parameters blocks can be omitted.
Lines starting with # are treated as comments and ignored.
Blocks can appear in any order.
Within a block, you can use a semicolon ‘;’ instead of a newline.

Additional blocks

Two other block types are possible:

comment
Any text in here is treated as a comment and ignored.
end

constraints
# Zero or more constraints.
end

These can be repeated.