CVXR (version 1.9.1)

scalarize: Scalarize multiple objectives into a single objective

Description

Transforms for combining several Minimize/Maximize objectives into one objective for multi-objective optimization. Mirrors CVXPY's cvxpy.transforms.scalarize submodule; access members with $:

Usage

scalarize

Format

A named list of four functions.

Details

• scalarize$weighted_sum(objectives, weights) -- weighted sum of objectives.

• scalarize$targets_and_priorities(objectives, priorities, targets, limits = NULL, off_target = 1e-5) -- penalize each objective within a [target, limit] range; a negative priority flips the objective sense.

• scalarize$max(objectives, weights) -- minimize the largest weighted objective term.

• scalarize$log_sum_exp(objectives, weights, gamma = 1.0) -- smooth maximum; gamma -> 0 approaches weighted_sum, gamma -> Inf approaches max.

Examples

x <- Variable()
objs <- list(Minimize(square(x)), Minimize(square(x - 1)))
obj <- scalarize$weighted_sum(objs, c(1, 1))
if (FALSE) psolve(Problem(obj))