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[docs] add multiobjective portfolio example #3227

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merged 4 commits into from Feb 22, 2023
Merged

[docs] add multiobjective portfolio example #3227

merged 4 commits into from Feb 22, 2023

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odow
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@odow odow commented Feb 21, 2023

x-ref: https://discourse.julialang.org/t/jump-non-linear-optimization/94020/10

Another example on discourse that multi-objective is going to get used more than I perhaps expected.

Preview: http://jump.dev/JuMP.jl/previews/PR3227/tutorials/nonlinear/portfolio/

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codecov bot commented Feb 21, 2023

Codecov Report

Base: 98.07% // Head: 98.07% // Increases project coverage by +0.00% 🎉

Coverage data is based on head (a9f4dab) compared to base (c6b5888).
Patch has no changes to coverable lines.

Additional details and impacted files
@@           Coverage Diff           @@
##           master    #3227   +/-   ##
=======================================
  Coverage   98.07%   98.07%           
=======================================
  Files          34       34           
  Lines        4612     4632   +20     
=======================================
+ Hits         4523     4543   +20     
  Misses         89       89           
Impacted Files Coverage Δ
src/macros.jl 98.57% <0.00%> (+0.04%) ⬆️

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@odow
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odow commented Feb 21, 2023

I think this looks good

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@odow odow mentioned this pull request Feb 22, 2023
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@blegat
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blegat commented Feb 22, 2023

As a follow up from jump-dev/MathOptInterface.jl#2070 (comment), it's nice that it works so smoothly.
I believe this is called the Markowitz efficient frontier: https://en.wikipedia.org/wiki/Efficient_frontier, that's how the Convex.jl example calls it, we could add that.
It might be nice adding a comment why MOA only returns a finite number of solutions while we expect an infinite number.

@odow odow merged commit 6a422d3 into master Feb 22, 2023
@odow odow deleted the od/portfolio branch February 22, 2023 21:04
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