MOCVXPY: a CVXPY extension for multiobjective optimization

TL;DR

MOCVXPY is an open-source Python library extending CVXPY to facilitate convex multiobjective optimization, making it easier for practitioners to formulate and solve complex problems with real-world applications.

Contribution

It introduces a user-friendly algebraic interface for convex vector optimization within CVXPY, along with algorithms and practical examples for finance and energy.

Findings

Successfully applied to real-world finance problems

Demonstrated effectiveness in energy optimization scenarios

Provides an accessible tool for multiobjective convex optimization

Abstract

MOCVXPY is an open-source Python library for convex vector optimization. It is built on top of CVXPY, a domain-specific language for single-objective convex optimization. MOCVXPY enables practitioners to describe their convex vector optimization problem in an intuitive algebraic language, that closely follows the mathematical formulation. This work presents the main features of MOCVXPY, explains some background of the algorithms it employs to solve the optimization problems, and illustrates its functionality through examples and two real-world applications in finance and energy. MOCVXPY is available at https://github.com/salomonl/mocvxpy under the Apache 2.0 licence, with some documentation and examples.