10 Case StudiesΒΆ
In this section we present some case studies in which the Rmosek package is used to solve reallife 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.

Keywords: Markowitz model, variance, risk, efficient frontier, factor model, transaction cost, market impact cost, cardinality constraints
Type: Conic Quadratic, Power Cone, MixedInteger
Least squares and other norm minimization problems
Keywords: Least squares, regression, 2norm, 1norm, pnorm, ridge, lasso
Type: Conic Quadratic, Power Cone

Keywords: machine learning, logistic regression, classifier, logsumexp, softplus, regularization
Type: Exponential Cone, Quadratic Cone