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Risk-Based Optimization tool using CVXPY and CVXPYgen

Project description

CVXPY Risk Optimization

A package for risk-based optimization using CVXPY and CVXPYgen.

Installation

Installing from PyPI

The package can be installed using pip:

pip install cvxRiskOpt

Notes:

  • The installation will also include cvxpy and cvxpygen.
  • Please refer to cvxpy's documentation for installing additional solvers.
  • Compiling code with Clarabel requires Rust, Eigen, and cbindgen. (e.g. These can be installed with homebrew on MacOS)
  • Compiled code using the ECOS solver is licensed under the GNU General Public License v3.0.
  • Please refer to the cvxpygen documentation for more details about compiled code.

Installing from source

  • Clone/Download the package
  • Create and activate conda env
conda create --name cvxRiskOpt python=3.10 pip -y
conda activate cvxRiskOpt
  • Install dependencies (see setup.py)
  • Install the package
python3 -m pip install -e .

Tests

To run tests, execute the following from the root of the package.

pytest

Examples

There are several examples in examples demonstrating the usage of the package.

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