matlab,optimization,convex-optimization,cvxopt,cvx

The objective in your MATLAB code is outputting a vector, not a number (scalar). Change it to: (1/m * sum( log(1+ exp(-b.* (A * x)) ) ) ) And it will return a single number....

You could just use numpy.linalg.cholesky. Also if all of one column or all of one row are zeros, the matrix will be singular, have at least on eigenvalue that will be zero and therefore, not be positive definite. Since Cholesky is only defined for matrices that are "Hermitian (symmetric if...

python,statistics,scikit-learn,statsmodels,cvxopt

statsmodels has had for some time a fit_regularized for the discrete models including NegativeBinomial. http://statsmodels.sourceforge.net/devel/generated/statsmodels.discrete.discrete_model.NegativeBinomial.fit_regularized.html which doesn't have the docstring (I just saw). The docstring for Poisson has the same information http://statsmodels.sourceforge.net/devel/generated/statsmodels.discrete.discrete_model.Poisson.fit_regularized.html and there should be some examples available in the documentation or unit tests. It uses an interior...