Comments (1)
The solvers all deal with doubles and so anything ~1e-15 is effectively zero. So you can set a zero threshold and force the solution components that are this small in absolute value to be zero upon return from CVXR
.
But the larger point is that this is solver behavior. Some solvers like glmnet
use active sets, where the coefficients for variables not in the active set are directly set to zero. Other solvers, of course, work differently.
The natural follow-up is then: can a solver like glmnet
be used with CVXR
? Yes, in the experiments we have done. But no promises yet.
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Related Issues (20)
- Solving SDP problem with cvx - difference between MATLAB and R solution HOT 1
- Need better handling of GUROBI solver error
- Problem does not follow GDP rules
- Problem does not follow DCP rules when using large number
- Minimize() and Maximize() prompt "illegal operation" HOT 2
- GLPK_MI, feasible solution, error: "the condition has length > 1" HOT 1
- wrong link in homepage HOT 1
- xpress support
- Wrong table about SCS and QP in homepage HOT 7
- Solver specific variables in CVXR::solve
- Please revisit the License file HOT 1
- Applying reduction GLPK_MI appears to be in an infinite loop HOT 3
- Reproducing glmnet results runs into issues with indicator variables and ultrasparse lambdas HOT 3
- Problem with nested optimization functions HOT 2
- Issue installing CVXR
- Inaccurate timing results HOT 1
- How to use CVXR variable in Rcpp? The S4 object cannot multiply an int cause an error in Rcpp. HOT 2
- mac mini m1 silicon --- try the catenary example HOT 1
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