Welcome to cvxRiskOpt’s documentation!

cvxRiskOpt is a Python package for risk-based optimization using CVXPY and CVXPYgen.

Risk-based optimization problems can be hard to code and they may require looking up reformulations. To encourage risk-based optimization problems and help speed up the development cycle, we created cvxRiskOpt.

cvxRiskOpt provides users with tools to automatically generate risk-based optimization problems and risk-based constraints. cvxRiskOpt integrates with CVXPY directly resulting in CVXPY Problems and constraints. These also enables using CVXPYgen directly allowing users to automatically generate C-code which can be used on embedded systems or utilized with the python-wrapper to speed up solving the optimization problems.

• cvxRiskOpt
  • cvxRiskOpt package
    • Submodules
    • cvxRiskOpt.cclp_risk_opt module
      • cclp_dro_mean_cov()
      • cclp_gauss()
    • cvxRiskOpt.mpc_helpers module
      • cp_var_mat_to_list()
      • expect_cov_x_t()
      • lin_mpc_expect_xQx()
    • cvxRiskOpt.wass_risk_opt_pb module
      • WassDRCVaR
      • WassDRExpectation
      • WassWCEMaxAffine
      • update_wass_wce_params()
    • Module contents

Indices and tables

• Index

• Module Index

• Search Page

GitHub Repository

You can find the source code for this project on GitHub: