6. Conic Optimization

In this chapter, there is a number of examples with companion Pyomo implementation that explore various modeling and implementation aspects of conic problems:

• Economic order quantity

• The Kelly criterion

• Markowitz portfolio optimization problem revisited

• Optimal design of multi-layered building insulation

• Support Vector Machines with conic optimization

• Extra material: Luenberger’s investment wheel

• Extra material: Optimal growth portfolio

Go to the next chapter about what happens when optimization meets reality and needs to account for uncertainty.