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Add dual in RelativeEntropyCone docstring#1018

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chriscoey merged 2 commits into
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bl/dual_relentr
Feb 12, 2020
Merged

Add dual in RelativeEntropyCone docstring#1018
chriscoey merged 2 commits into
masterfrom
bl/dual_relentr

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@blegat
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@blegat blegat commented Feb 8, 2020

It can be obtained from the bridge to exponential cone.
[I 0]^(-1) * RelEntr = [A B]^(-1) [Exp1 x ... x Expn x R+]
so
[I; 0] * RelEntr* = [A'; B'] * [Exp1* x ... x Expn* x R+]
B' * R+ = 0 says that the u_i are all equal.
Then A' * [Exp1* x ... x Expn*] gives the dual exponential cone constraints with the same u_i

@blegat blegat added this to the v0.9.11 milestone Feb 8, 2020
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codecov-io commented Feb 8, 2020

Codecov Report

Merging #1018 into master will not change coverage.
The diff coverage is n/a.

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@@           Coverage Diff           @@
##           master    #1018   +/-   ##
=======================================
  Coverage   95.19%   95.19%           
=======================================
  Files         100      100           
  Lines       11279    11279           
=======================================
  Hits        10737    10737           
  Misses        542      542
Impacted Files Coverage Δ
src/sets.jl 95.28% <ø> (ø) ⬆️

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@chriscoey
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-u \\exp (v_i/u) \\le \\exp(1) w_i is equivalent to v_i \\le u (\\log(w_i/-u) + 1), not sure if worth noting both.

@chriscoey chriscoey merged commit c7cba19 into master Feb 12, 2020
@chriscoey chriscoey deleted the bl/dual_relentr branch February 12, 2020 20:23
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