Scalar indexing in `logisticloss`

A quick fix is

function mylogisticloss(expr)
    n = length(expr)
    e = hcat(expr, zeros(n))
    # log(sum(exp(x))) <= t  <=>  sum(exp(x)) <= exp(t) <=> sum(exp(x - t)) <= 1
    t = Variable(n)
    z = sum(exp(e - t .* ones(size(e))))
    add_constraint!(t, 1 >= z)
    return sum(t)
end

but that subverts DCP since the extended formulation is only valid in a convex context, but the resulting sum(t) is affine. The proper fix therefore is probably to have a vectorized version of logsumexp as a new atom and use it here.

jump-dev / Convex.jl

Scalar indexing in `logisticloss` #682