Pinned Repositories
cvx_short_course
Materials for a short course on convex optimization.
cvxbook_additional_exercises
Additional exercises and data for EE364a. No solutions; for public consumption.
cvxportfolio
Portfolio optimization and back-testing.
cvxpylayers
Differentiable convex optimization layers
CVXR
An R modeling language for convex optimization problems.
dmcp
A CVXPY extension for multi-convex programming
dsp
A CVXPY extension for saddle problems
ncvx
pymde
Minimum-distortion embedding with PyTorch
scs
Splitting Conic Solver
Stanford University Convex Optimization Group's Repositories
cvxgrp/cvxportfolio
Portfolio optimization and back-testing.
cvxgrp/scs
Splitting Conic Solver
cvxgrp/cvxbook_additional_exercises
Additional exercises and data for EE364a. No solutions; for public consumption.
cvxgrp/cvx_short_course
Materials for a short course on convex optimization.
cvxgrp/cvxpygen
Code generation with CVXPY
cvxgrp/signal-decomposition
A simple and general framework for signal decomposition
cvxgrp/auto_ks
Repository for "Fitting a Kalman Smoother to Data"
cvxgrp/cov_pred_finance
cvxgrp/simulator
Tool to support backtests
cvxgrp/cptopt
Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
cvxgrp/dsp
A CVXPY extension for saddle problems
cvxgrp/exp_util_gm_portfolio_opt
Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
cvxgrp/cvxstatarb
cvxgrp/cvxmarkowitz
cvxgrp/robust_bond_portfolio
Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
cvxgrp/torch_linops
A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.
cvxgrp/cvxcla
critical line algorithm for efficient frontier
cvxgrp/cvxrisk
Compile risk with cvxpy
cvxgrp/markowitz-reference
This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
cvxgrp/mlr_fitting
Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices
cvxgrp/spcqe
Smooth periodic consistent quantile estimation
cvxgrp/ls-spa
cvxgrp/cvxbson
dealing with json and bson files
cvxgrp/cvxcli
Example cli using fire, poetry and pipx
cvxgrp/ewmm_code
Code for the EWMM paper
cvxgrp/smooth_multiperiodic_forecasting_experiments
Notebook accompanying numerical results section of the paper "Interpretable Net Load Forecasting Using Smooth Multiperiodic Features".
cvxgrp/boilerplate
We use this repo to automate and avoid boilerplate issue
cvxgrp/ls-spa-benchmark
cvxgrp/.github
Reusable workflows for cvxgrp
cvxgrp/pv_bundt_cake
Code reproducing results of the paper "Time Dilated Bundt Cake Analysis of PV Output"