second-order-cone-programming

A Julia interface to the Gurobi Optimizer

Simulation code for "A Novel SCA-Based Method for Beamforming Optimization in IRS/RIS-Assisted MU-MISO Downlink," by V. Kumar, R. Zhang, M. D. Renzo and L. -N. Tran, IEEE Wireless Communications Letters, doi: 10.1109/LWC.2022.3224316.

Simulation code for "A max-min task offloading algorithm for mobile edge computing using non-orthogonal multiple access," by V. Kumar, M. F. Hanif, M. Juntti and L. -N. Tran, published in IEEE Transactions on Vehicular Technology, vol. 72, no. 9, pp. 12332-12337, Sept. 2023, doi: 10.1109/TVT.2023.3263791.

An unofficial implementation of Seamless Surface Mappings (Aigerman et al., SIGGRAPH 2015)

A MATLAB mex interface to the interior-point solver Clarabel.

This repository demonstrates an implementation of chance constrained portfolio allocation using the Sample Average Approximation (SAA) method for chance-constrained programming.

End-to-end portfolio construction systems exemplify modern quantitative investing where machine learning and optimization are tightly coupled to drive better portfolio outcomes. This repository contains a Jupyter notebook that illustrates a mean-variance end-to-end system and compares it to bechmark models.

This repository provides a comparative study of many variants of portfolio allocation models and their robust counterparts. Instead of relying solely on estimated inputs—such as expected returns or risk measures— robust portfolio optimization allocates portfolios that remain effective across a predefined set of plausible market conditions.