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.