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
, andcbindgen
. (e.g. These can be installed withhomebrew
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.
Project details
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