CVXPY - 圆锥求解器不支持问题输出的圆锥

编程问答 2022-04-28

问题描述

我正在使用 cvxpy 来解决一个投资组合优化问题，并限制了要考虑的最大资产数量。 为了做到这一点，我想引入新的布尔变量“yi”，如果资产 i 包含在投资组合中，则它们等于 1，否则等于 0。 “yi”变量的总和将等于“k”，这是我要考虑的资产数量。

import numpy as np
import pandas as pd
from cvxpy import *

# assets names
tickers = ["AAA","BBB","CCC","DDD","EEE","FFF"]

# return matrix
ret = pd.DataFrame(np.random.rand(1,6),columns = tickers)

# Variance_Coviariance matrix
covm = pd.DataFrame(np.random.rand(6,columns = tickers,index = tickers)

# problem setting
x = Variable(len(tickers))                   # xi variables
y = Variable(len(tickers),boolean = True)   # yi variables
er = np.asarray(ret.T) * x                   # expected return
min_ret = 0.2                                # minimum return
risk = quad_form(x,np.asmatrix(covm))       # risk
k = 3                                        #maximum number of assets to include
constraints = [sum(x) == 1,er >= min_ret,x >= 0,sum(y) == k]  #constraints array
for i in range(len(tickers):
    constraints.append(x[i] <= y[i])         # additional constraint for which each xi must be less or equal to each yi
objective = Minimize(risk)                   # set the objective function
prob = Problem(objective,constraints)       # set problem
prob.solve()                                 # solve problem

我收到以下错误：

 Either candidate conic solvers (['GLPK_MI']) do not support the cones output by the problem (SOC,NonNeg,Zero),or there are not enough constraints in the problem.

我不确定我做错了什么。

解决方法

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