I'm using cvxpy to model a problem.
Inside a very large and complex LP, I create two continuous, affine (unconstrained) expressions:x and y.
Due to how they are created, I know that 0 < x < y <= U. Obviously: x/y < 1.
In my LP objective, how do I maximize the ratio x/y?
Things I tried:
- Maximizing
x*cp.inv_pos(Y)states my problem is non DCP (also if I try to minimize the inverse) - I found various LP formulations for maximizing ratios (e.g. here or here) but these requires rewriting the constraints on all the terms in the expressions for
x- I have no idea how to do that withcvxpy.
If this is the way to go then an example would be very helpful!