Description
Our recent work implements a domain-specific language called Disciplined Saddle Programming (DSP) in Python. It is available at https://github.com/cvxgrp/dsp. DSP allows specifying convex-concave saddle, or minimax problems, a class of convex optimization problems commonly used in game theory, machine learning, and finance. One application for DSP is to naturally describe and solve robust optimization problems. We show numerous examples of these problems, including robust regressions and economic applications. However, this only represents a fraction of problems solvable with DSP, and we want to engage with the SciPy community to hear about further potential applications.