Only the constraints are presented here. Then, eq. 2 can be reformulated as follow: The complete optimal allocation of eq. 3 can be summarized by the following python script: """EF evaluation """ import copy import logging import os import cvxopt import numpy as np scalar = 10000 def cvxopt_solve_qp(P, q, G= None, h= None, **kwargs): P = 0.5 * (P + P.T) # make sure P is symmetric args = [cvxopt.matrix(P), The remaining two cases are additional edge cases related to the previous condition. The size and description of the dataset we used are presented in table. (see Table 6).

This optimal solution is traditionally found by solving a convex optimization problem.

The efficient frontier (EF) is a fundamental resource allocation problem where one has to find an optimal portfolio maximizing a reward at a given level of risk. This optimal solution is traditionally found by solving a convex optimization problem. In this paper, we introduce NeuralEF: a fast neural approximation framework that robustly forecasts the result of the EF convex optimization problem with respect to heterogeneous linear constraints and variable number of optimization inputs. By reformulating an optimization problem as a sequence to sequence problem, we show that NeuralEF is a viable solution to accelerate large-scale simulation while handling discontinuous behavior.