# How to deal with the lack of an explicit Expression type (present in CVX) in Convex.jl?

**URL:** <https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854>\
**Category:** Optimization (Mathematical)\
**Tags:** question, package\
**Created:** [July 14, 2017, 3:17pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854 "2017-07-14T15:17:00Z")\
**Posts on this page:** 9\
**Page:** 1

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**Author:** ![falbarelli](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/falbarelli/32/2449_2.png) [@falbarelli](https://discourse.julialang.org/u/falbarelli)\
**Post date:** [July 14, 2017, 3:17pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/1 "2017-07-14T15:17:00Z")

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Hello, I am a new user of Convex.jl and I am trying to port some Matlab code I wrote for CVX.

Basically one of the variables of my problem is a matrix, but my constraints involve not the variable matrix itself, but two other matrices built from elements of the variable matrix. In CVX I would declare these two matrices as expressions, but I do not think I can do that in Convex.jl.  
The tricky part is that I have been able to express these two matrices only via a for loop, i.e. element-wise, it is likely that it can be done in a different (vectorized) way, but in CVX it works anyway!

In CVX I did something like this:

```julia
cvx_begin sdp
    variable x;
    variable xsi(n,n) complex;
    expression M0(m,m);
    expression M1(m,m);

    for i=1:m
    	for j=1:m
            a=ranvec(i,:) - ranvec(j,:) + (n+1)/2;
            di=(ranvec(i,:)-1)*(2*l)/(n-1) - l;
            dj=(ranvec(j,:)-1)*(2*l)/(n-1) - l;
    	    M0(i,j)=xsi(a(1),a(2));
    	    M1(i,j)=M0(i,j)*exp(1j*0.5*(-di(2)*dj(1) + di(1)*dj(2)));
    	end
    end
    M0 + x*m*eye(m) >= 0;
    M1 >= 0;
cvx_end

```

Since I can declare M0 and M1 as expressions when I write ` M1 >= 0` everything is fine. I do not understand how I can do the same in Convex.jl…

I tried doing this

```julia
x=Variable()
xsi=ComplexVariable(n,n);
M0=Array(AbstractExpr,m,m);
M1=Array(AbstractExpr,m,m);

```

then fill the matrices M1 and M0 in the same way but then when I try to add the constraints like `constraints= [M1 in :SDP]` I get some errors:

```julia
MethodError: no method matching start(::Symbol)
Closest candidates are:
  start(::SimpleVector) at essentials.jl:170
  start(::Base.MethodList) at reflection.jl:258
  start(::IntSet) at intset.jl:184
  ...

 in mapreduce_sc_impl(::Base.Predicate{Base.##212#213{Array{Convex.AbstractExpr,2}}}, ::Base.#|, ::Symbol) at ./reduce.jl:212
 in in(::Array{Convex.AbstractExpr,2}, ::Symbol) at ./reduce.jl:496

```

Does anything of this make sense? Sorry but I am quite new to this fascinating world of convex optimization.  
Thank you in advance for any help you can give me! 🙂

Francesco

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<div class="post-metadata">

**Author:** ![juliohm](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/juliohm/32/215266_2.png) [@juliohm](https://discourse.julialang.org/u/juliohm)\
**Post date:** [July 14, 2017, 4:01pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/2 "2017-07-14T16:01:00Z")

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@falbarelli, I couldn’t read your code carefully, but a few comments:

- Why in your Convex.jl version the variable `xsi` became a `ComplexVariable`?
- In Convex.jl you define a semidefinite matrix with `Semidefinite`

Maybe if you formulate your optimization in mathematical language, we can try help write it down in code.

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<div class="post-metadata">

**Author:** ![falbarelli](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/falbarelli/32/2449_2.png) [@falbarelli](https://discourse.julialang.org/u/falbarelli)\
**Post date:** [July 14, 2017, 7:40pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/4 "2017-07-14T19:40:12Z")

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@juliohm thank you a lot for finding the time to answer my question 🙂

> [@juliohm](#):
>
> Why in your Convex.jl version the variable xsi became a ComplexVariable?

You are right in noticing this inconsistency, but actually the matlab code should read `variable xsi(n,n) complex`, since `xsi` is a matrix with complex entries. I am editing the initial post to reflect this.

> [@juliohm](#):
>
> In Convex.jl you define a semidefinite matrix with Semidefinite

I know this, but the point is that `xsi` is not a Semidefinite matrix, it is a more or less arbitrary complex matrix (actually if I choose the coordinates of the problem wisely it can be Hermitian).  
On the other hand, the matrices `M0` and `M1` are always Hermitian, but these matrices are not the variables themselves, they are just combinations of the elements of `xsi`. Possibly I could rewrite the problem using `M0` as my variable, but I am not sure.

Anyway, the point is that I would like to know if it is possible to do what I did in CVX also with Convex.jl, regardless of the details: i.e. how do I create a new matrix from elements of my variable matrix and enforce matrix inequalities on this newly created matrix?

In any case if you are interested, the mathematical problem in its full form is the following (slightly modified from [this](https://arxiv.org/abs/1005.1665) quantum physics paper):

 ![](https://global.discourse-cdn.com/julialang/original/3X/f/6/f687f334c389dcddac851744a6c07627f04d583c.png)

P.S. I apologize for my bad knowledge of the Greek alphabet, `xsi` in my code actually corresponds to the \chi letter in the mathematical description!

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<div class="post-metadata">

**Author:** ![juliohm](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/juliohm/32/215266_2.png) [@juliohm](https://discourse.julialang.org/u/juliohm)\
**Post date:** [July 14, 2017, 7:58pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/5 "2017-07-14T19:58:05Z")

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@falbarelli, thank you for your detailed reply. The math is much more clear than the code. I understand that the function \Chi is some sort of covariance and that you know the value of this covariance at some specific lags v\_i - v\_j.

Can you confirm that your only optimization variable is x? How is it connected to the rest of the problem? Everything looks like data to me, are the matrices fixed given the function \Chi and the collection T?

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<div class="post-metadata">

**Author:** ![juliohm](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/juliohm/32/215266_2.png) [@juliohm](https://discourse.julialang.org/u/juliohm)\
**Post date:** [July 14, 2017, 8:02pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/6 "2017-07-14T20:02:20Z")

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If your function \Chi is parametrized by x, then you have to specify its structure in order to make sure this constitutes a convex optimization problem. Of course, I may be interpreting the entire problem incorrectly, please let me know if I am off.

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<div class="post-metadata">

**Author:** ![falbarelli](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/falbarelli/32/2449_2.png) [@falbarelli](https://discourse.julialang.org/u/falbarelli)\
**Post date:** [July 14, 2017, 8:22pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/7 "2017-07-14T20:22:45Z")

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@juliohm thanks again for taking time to read my post!

> [@juliohm](#):
>
> Everything looks like data to me, are the matrices fixed given the function \Chi and the collection T?

Sorry, but I just noticed that I forgot to mention another point and maybe I have not been clear enough on some others:  
The function chi is discretized and thus become a matrix on a 2d grid, when I generate the collection T I make sure that the differences between elements in T are actually on the grid.  
My optimization variables are thus both x and the matrix which represents the discretized version of chi (i.e. `xsi` in my code).  
My data is the vector collection T and the values c\_j (i.e. the values I know for the function chi).

In case you are interested, some more background:

The function chi is actually the Fourier transform of a real function W (the Wigner function in physical terms).  
The idea behind all this is the Bochner theorem: if the real function W is positive it ensures that the matrices M0 and M1 must both be positive definite. If W has also negative values M0 is not a positive definite matrix, while M1 remains positive definite.

The idea is to find the minimal matrix proportional to the identity that must be added to M0 in order to make it positive definite. Intuitively this quantifies how “negative” the function W is. The function chi is known only at certain particular points.

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**Author:** ![juliohm](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/juliohm/32/215266_2.png) [@juliohm](https://discourse.julialang.org/u/juliohm)\
**Post date:** [July 14, 2017, 8:50pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/8 "2017-07-14T20:50:50Z")

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Thank you for putting the problem into context, I understand it better now.

I believe that a working solution would start by defining a matrix M\_oplus = M\_o + x_m_I as one of your `Semidefinite()` optimization variables (M\_oplus and M\_1). By doing so, you help Convex.jl understand the semidefinite constraints. You then would proceed and write the other constraints entry by entry on these two matrices in a loop using the data and the scalar optimization variable x. The job of the loop is merely to tie the matrices M\_oplus and M\_1 with the scalar x.

I don’t know if it applies to your problem, but you may also find the `conv` operation supported in Convex.jl useful since you’re dealing with FFTs…

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**Author:** ![falbarelli](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/falbarelli/32/2449_2.png) [@falbarelli](https://discourse.julialang.org/u/falbarelli)\
**Post date:** [July 14, 2017, 9:01pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/9 "2017-07-14T21:01:02Z")

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Thank you, I did not think about this approach.  
I was somehow reasoning under the assumption that the only things I need to declare as Variables are the actual variables of my problem.  
Instead, you are suggesting that I can as define more Variables and ‘fix’ them by adding more constraints… this is actually very simple and I think that it might be the solution to my problem. I will try 🙂, thanks again!

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<div class="post-metadata">

**Author:** ![juliohm](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/juliohm/32/215266_2.png) [@juliohm](https://discourse.julialang.org/u/juliohm)\
**Post date:** [July 14, 2017, 9:09pm UTC](https://discourse.julialang.org/t/how-to-deal-with-the-lack-of-an-explicit-expression-type-present-in-cvx-in-convex-jl/4854/10 "2017-07-14T21:09:58Z")

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The number of variables in this case should be the same as your original problem. You are just working with M\_oplus instead of M\_o to help Convex.jl find the most appropriate transformations to conic form. 🙂