cvxRiskOpt: A Risk-Based Optimization Tool Based on CVXPY

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Sleiman Safaoui, Tyler H. Summers

Published: 01 Jan 2024, Last Modified: 15 Nov 2025IEEE Control. Syst. Lett. 2024EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: We introduce cvxRiskOpt (convex Risk-based Optimization): a Python package built on top of CVXPY for the rapid prototyping of convex risk-based optimization problems and generating embeddable C code using CVXPYgen. Our package provides high-level functions to handle several risk-based optimization problems and constraints. These functions reformulate problems and constraints involving random variables and uncertainty into deterministic convex counterparts. The output is either a CVXPY Problem instance or CVXPY constraints that users can directly add to their CVXPY Problem instance. Accordingly, our package can use CVXPYgen to generate C code resulting in custom embeddable risk-based optimization problems. cvxRiskOpt is available at https://tsummerslab.github.io/cvxRiskOpt/.