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Change the order in which a few notebooks appear
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alessandrozocca committed Dec 1, 2023
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8 changes: 4 additions & 4 deletions _toc.yml
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Expand Up @@ -14,9 +14,9 @@ chapters:
- file: notebooks/02/01-bim.ipynb
- file: notebooks/02/02-lad-regression.ipynb
- file: notebooks/02/03-mad-portfolio-optimization.ipynb
- file: notebooks/02/04-bim-maxmin.ipynb
- file: notebooks/02/05-bim-fractional.ipynb
- file: notebooks/02/04-bim-dual.ipynb
- file: notebooks/02/05-bim-maxmin.ipynb
- file: notebooks/02/06-bim-fractional.ipynb
- file: notebooks/02/07-bim-demand-forecast.ipynb
- file: notebooks/02/08-L1-regression-wine-quality.ipynb
- file: notebooks/02/09-production-faciliity-worst-case.ipynb
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- file: notebooks/09/09.00.md
sections:
- file: notebooks/09/01-pop-up-shop.ipynb
- file: notebooks/09/02-markowitz-portfolio-with-chance-constraint.ipynb
- file: notebooks/09/01-markowitz-portfolio-with-chance-constraint.ipynb
- file: notebooks/09/02-pop-up-shop.ipynb
- file: notebooks/09/03-seafood-distribution-center.ipynb
- file: notebooks/09/04-economic-dispatch.ipynb

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6 changes: 3 additions & 3 deletions notebooks/02/02.00.md
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Expand Up @@ -21,9 +21,9 @@ This chapter includes several with companion Pyomo implementation that explore v
* [Microchip production problem of company BIM](01-bim.ipynb)
* [Least Absolute Deviation (LAD) Regression](02-lad-regression.ipynb)
* [Mean Absolute Deviation (MAD) portfolio optimization](03-mad-portfolio-optimization.ipynb)
* [The dual problem of the microchip production problem](04-bim-dual.ipynb)
* [A variant of BIM problem: maximizing the lowest possible profit](05-bim-maxmin.ipynb)
* [Two variants of the BIM problem using fractional objective or additional fixed costs](06-bim-fractional.ipynb)
* [A variant of BIM problem: maximizing the lowest possible profit](04-bim-maxmin.ipynb)
* [Two variants of the BIM problem using fractional objective or additional fixed costs](05-bim-fractional.ipynb)
* [The dual problem of the microchip production problem](06-bim-dual.ipynb)
* [The BIM production problem using demand forecasts](07-bim-demand-forecast.ipynb)
* [Extra material: Wine quality prediction problem using $L_1$ regression](08-L1-regression-wine-quality.ipynb)
* [Extra material: Multi-product facility production](09-production-faciliity-worst-case.ipynb)
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"```{index} minmax objective\n",
"```\n",
"\n",
"# 2.5 BIM production for worst case"
"# 2.4 BIM production for worst case"
]
},
{
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"```{index} single: Pyomo; Expression\n",
"```\n",
"\n",
"# 2.6 BIM production variants"
"# 2.5 BIM production variants"
]
},
{
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"```{index} single: Pyomo; Suffix\n",
"```\n",
"\n",
"# 2.4 Dual of the BIM production problem"
"# 2.6 Dual of the BIM production problem"
]
},
{
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"```\n",
"```{index} chance constraints\n",
"```\n",
"# 9.2 Markowitz portfolio optimization with chance constraints"
"# 9.1 Markowitz portfolio optimization with chance constraints"
]
},
{
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},
"source": [
"## Problem description\n",
"We consider here another variant of the Markowitz portfolio optimization problem, which we already encountered in the context of convex optimization [here](../05/markowitz_portfolio.ipynb) and in the context of conic optimization [here](../06/markowitz_portfolio_revisited.ipynb).\n",
"We consider here another variant of the Markowitz portfolio optimization problem, which we already encountered in the context of convex optimization [here](../05/03-markowitz_portfolio.ipynb) and in the context of conic optimization [here](../06/03-markowitz_portfolio_revisited.ipynb).\n",
"\n",
"Assuming there is an initial unit capital $C$ that needs to be invested in a selection of $n$ possible assets, each of them with a unknown return rate $r_i$, $i=1,\\dots,n$. Let $x$ be the vector whose $i$-th component $x_i$ describes the fraction of the capital invested in asset $i$. The return rate vector $r$ can be modelled by a multivariate Gaussian distribution with mean $\\mu$ and covariance $\\Sigma$. Assume there is also a risk-free asset with guaranteed return rate $R$ and let $\\tilde{x}$ the amount invested in that asset. We want to determine the portfolio that maximizes the _expected_ return $\\mathbb{E} ( R \\tilde{x} + r^\\top x )$, which in view of our assumptions rewrites as $ \\mathbb{E} ( R \\tilde{x} + r^\\top x ) = R \\tilde{x} + \\mu^\\top x$.\n",
"\n",
"Additionally, we includ a _loss risk chance constraint_ of the form \n",
"Additionally, we include a _loss risk chance constraint_ of the form \n",
"\n",
"$$\n",
"\\mathbb{P} ( r^\\top x \\leq \\alpha) \\leq \\beta.\n",
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"```{index} stochastic optimization\n",
"```\n",
"\n",
"# 9.1 Pop-up shop"
"# 9.2 Pop-up shop"
]
},
{
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4 changes: 2 additions & 2 deletions notebooks/09/09.00.md
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In this chapter, there is a number of examples with companion Pyomo implementation that explore various modeling and implementation aspects of stochastic optimization:

* [Optimal management of a pop-up shop](01-pop-up-shop.ipynb)
* [Markowitz portfolio with chance constraints](02-markowitz-portfolio-with-chance-constraint.ipynb)
* [Markowitz portfolio with chance constraints](01-markowitz-portfolio-with-chance-constraint.ipynb)
* [Optimal management of a pop-up shop](02-pop-up-shop.ipynb)
* [Stock optimization for seafood distribution center](03-seafood-distribution-center.ipynb)
* [Economic dispatch in energy systems using chance constraints](04-economic-dispatch.ipynb)

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