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CVXPY is a Python-embedded modeling language for convex optimization problems.
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Minimum trade size in CVXPY
A minimal example below (I'm using u instead of z).
import cvxpy as cp
import numpy as np
x = np.random.normal(0., 1., size=(100, 1))
u = cp.Variable((100, 1))
S = np.random.rand(100, 100)
S = np.dot( …