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I do not know how to set up and solve the following linear optimization problem in Python. Can you help?

R and Beta are vectors of length n with known constants.

x is a vector of length n but is unknown - to be optimized.

constraints:

`B * x = 200 cross product (elementwise product then sum)

x(i)>0

find optimal values in vector x such that we maximize:

max(R * x)

It seems to be not a very complicated, but I did not succeed setting up the problem in the scipy library. Any help is appreciated.

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  • How is the multiplication B * x defined? You say vectors, do you mean mathematical ones? if so, are you talking about the cross product of vector B and x (which is the one the spits out a number) or maybe something else? Commented Feb 11, 2021 at 15:05
  • Thanks, updated the question. Yes , cross product then obtaining one scalar from the the sum of the elementwise multiplication Commented Feb 13, 2021 at 13:46
  • You can use the @ operator then Commented Jul 27, 2021 at 8:32

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That looks like a linear programming problem, take a look into the scipy library to solve that.

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