6. Conic Optimization

In this chapter, there is a number of examples with companion AMPL 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

• Training Support Vector Machines with Conic Programming

• 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.