Exercises

• Present applications in finance, machine learning, vehicle control, and risk analysis.

• For each application, the instructors will give a motivating overview, and participants will then code up and solve a problem arising in the application using CVXPY. Concretely, exercises will consist of notebooks with missing sections, which the participants need to fill in with code constructing and solving a CVXPY problem.

• Risk budget allocation.
• Portfolio Rebalancing
• Portfolio optimization using multiple risk models
• Simple portfolio optimization
• Energy storage trade-offs
• Flux balance analysis in systems biology
• Optimal vehicle speed scheduling
• DCP analysis
• LASSO
• Hello, world!
• A toy mixed-norm regression problem