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!