henri-gerard/robox

A kit for robust optimization and risk averse stochastic programming.

Robox

A kit for robust optimization and risk averse stochastic programming.

Robox stands for Robust Optimization Box. It is a Julia package designed to used general risk measures for robust machine learning.

More precisely, the Robox project implements algorithms of the paper General risk measure for robust machine learning and aims at providing a struture that is reliable for reproducing results and flexible for applying it to a wide range of sectors. This research was conducted during Henri Gérard's PhD under the supervision of Jean-Christophe Pesquet and Émilie Chouzenoux.

See https://www.linkedin.com/in/henri-g%C3%A9rard-phd-85826789/ for details about Henri Gérard's career.

Installation

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Third-party dependencies

Note that third parties dependencies are not required for a working installation. It is useful to benchmark our algorithm, reproduce and compare results.

Solver

Robox requires the installation of a convex solver. Several possibilities are available. If you are looking for a free product, we advise you to install Ipopt for better performance. Instructions are available on this site: https://www.coin-or.org/Ipopt/documentation/node10.html

Dependencies

Robox requires:

User installation

Development

We welcome new contributors of all experience levels. Contact the authors if you are interested. Some information about contributing code, documentation, and tests are included in this README.

Testing

After installation, you can launch the test suite from the tests directory:

cd robox/tests/
julia run_tests.py

By default, tests that require a solver are ignored.

Examples

After installation, you can launch examples from outside the source directory:

cd examples/

By default, the solver parameter is set to use ipopt.

The actions of these examples are detailed in the comments of each files.

## Instructions for commits Please follow the instructions below when you commit:

• begin your commit message by [DEV] if it is development, [UPD] if you made some updates, [FIX] if you fixed some errors,
• Leave a space and start your message with a Upper Case letter,
• Example : "[UPD] Add a license file".

Following this instruction will improve a lot research in previous commits.

Instructions for code style

Please follow the instructions of the PEP8 cheatsheet: https://www.python.org/dev/peps/pep-0008/

## Documentation