11 Case StudiesΒΆ

In this section we present some case studies in which the Optimizer API for Rust 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

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

  • Logistic regression

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

    • Type: Exponential Cone, Quadratic Cone

  • Concurrent Optimizer

    • Keywords: Concurrent optimization

    • Type: Linear Optimization, Mixed-Integer Optimization