Quadratic Optimization with Constraints in Python using CVXOPT

Web: https://towardsdatascience.com/quadratic-optimization-with-constraints-in-python-using-cvxopt-fc924054a9fc?source=rss----7f60cf5620c9---4

Quadratic optimization is a problem encountered in many fields, from least squares regression [1] to portfolio optimization [2] and passing by model predictive control [3]. In all of these problems, one must optimize the allocation of resources to different assets or agents (which usually corresponds to the linear term) knowing that there can be helpful or unhelpful interactions between these assets or agents (this corresponds to the quadratic term), all the while satisfying some …

constraints optimization portfolio-management python quadratic optimization