Stanford University Convex Optimization Group

Stanford, CA

Pinned Repositories

cvx_short_course
Materials for a short course on convex optimization.
Language:Jupyter Notebook334 27 33115
cvxbook_additional_exercises
Additional exercises and data for EE364a. No solutions; for public consumption.
Language:Julia611 15 1163
cvxportfolio
Portfolio optimization and back-testing.
Language:Python1k 64 117257
cvxpygen
Code generation with CVXPY
Language:Python131 13 3717
cvxpylayers
Differentiable convex optimization layers
Language:Python1.8k 58 114163
CVXR
An R modeling language for convex optimization problems.
Language:R206 22 8332
dmcp
A CVXPY extension for multi-convex programming
Language:Python45 19 87
dsp
A CVXPY extension for saddle problems
Language:Python25 6 123
pymde
Minimum-distortion embedding with PyTorch
Language:Python540 10 4727
scs
Splitting Conic Solver
Language:C557 36 181136

Stanford University Convex Optimization Group's Repositories

cvxgrp/cvxpylayers
Differentiable convex optimization layers
Language:Python1.8k 58 114163
cvxgrp/cvxportfolio
Portfolio optimization and back-testing.
Language:Python1k 64 117257
cvxgrp/cvxbook_additional_exercises
Additional exercises and data for EE364a. No solutions; for public consumption.
Language:Julia611 15 1163
cvxgrp/scs
Splitting Conic Solver
Language:C557 36 181136
cvxgrp/cvx_short_course
Materials for a short course on convex optimization.
Language:Jupyter Notebook334 27 33115
cvxgrp/CVXR
An R modeling language for convex optimization problems.
Language:R206 22 8332
cvxgrp/cvxpygen
Code generation with CVXPY
Language:Python131 13 3717
cvxgrp/diffcp
Differentiation through cone programs
Language:Python94 26 1921
cvxgrp/cov_pred_finance
Language:Jupyter Notebook62 4 607
cvxgrp/simulator
Tool to support backtests
Language:Python40 6 1552
cvxgrp/dsp
A CVXPY extension for saddle problems
Language:Python25 6 123
cvxgrp/cvxmarkowitz
Language:Jupyter Notebook24 5 702
cvxgrp/markowitz-reference
This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
Language:Python22 4 233
cvxgrp/cvxstatarb
Language:Jupyter Notebook20 4 1210
cvxgrp/cvxrisk
Compile risk with cvxpy
Language:Python11 3 301
cvxgrp/cvxcla
critical line algorithm for efficient frontier
Language:Python7 4 311
cvxgrp/qss
QSS: Quadratic-Separable Solver
Language:Jupyter Notebook7 4 322
cvxgrp/spcqe
Smooth periodic consistent quantile estimation
Language:Jupyter Notebook7 5 22
cvxgrp/ls-spa
A package for efficient Shapley performance attribution for least-squares problems
Language:Python6 3 01
cvxgrp/optimization_via_circuits
Distributed Optimization: Analysis and Synthesis via Circuits
Language:Python41
cvxgrp/multilevel_factor_model
Fitting multilevel factor model
Language:Jupyter Notebook3 2 11
cvxgrp/cvxbson
dealing with json and bson files
Language:Python2 3 15
cvxgrp/cvxcli
Example cli using fire, poetry and pipx
Language:Python2 3 4
cvxgrp/n-queens
Language:Python2 3 00
cvxgrp/boilerplate
We use this repo to automate and avoid boilerplate issue
Language:Python1 4 0
cvxgrp/crypto_portfolio
Language:Jupyter Notebook11
cvxgrp/randalo
Language:Python1
cvxgrp/.github
Reusable workflows for cvxgrp
Language:TeX4 14
cvxgrp/cvx_opt_overview_examples
Numerical examples for the slides
Language:Makefile
cvxgrp/rrandalo
RandALO in R
Language:C