10 Case StudiesΒΆ

In this section we present some case studies in which the Rmosek package is used to solve real-life applications. These examples involve some more advanced modeling skills and possibly some input data. The user is strongly recommended to first read the basic tutorials of Sec. 6 (Optimization Tutorials) before going through these advanced case studies.

  • Portfolio Optimization

    • Keywords: Markowitz model, variance, risk, efficient frontier, factor model, transaction cost, market impact cost, cardinality constraints

    • Type: Conic Quadratic, Power Cone, Mixed-Integer

  • Least squares and other norm minimization problems

    • Keywords: Least squares, regression, 2-norm, 1-norm, p-norm, ridge, lasso

    • Type: Conic Quadratic, Power Cone

  • Logistic regression

    • Keywords: machine learning, logistic regression, classifier, log-sum-exp, softplus, regularization

    • Type: Exponential Cone, Quadratic Cone