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 181137

Stanford University Convex Optimization Group's Repositories

cvxgrp/qcqp
A CVXPY extension for handling nonconvex QCQP via Suggest-and-Improve framework
Language:Python108 23 2125
cvxgrp/cvxflow
Language:Python66 23 622
cvxgrp/qcml
A Python parser for generating Python/C/Matlab solver interfaces
Language:Python43 17 379
cvxgrp/CVXcanon
Language:C++42 9 2525
cvxgrp/vwap_opt_exec
Volume Weighted Average Price Optimal Execution
Language:Jupyter Notebook41 24 025
cvxgrp/a2dr
Anderson accelerated Douglas-Rachford splitting
Language:Python29 5 38
cvxgrp/kelly_code
Code and examples for the project on risk-constrained Kelly gambling
Language:Jupyter Notebook26 18 219
cvxgrp/strat_models
A distributed method for fitting Laplacian regularized stratified models.
Language:Python25 27 48
cvxgrp/nonexp_global_aa1
Globally Convergent Type-I Anderson Acceleration for Non-Smooth Fixed-Point Iterations
Language:MATLAB20 21 110
cvxgrp/covpred
Covariance prediction via convex optimization
Language:Python19 3 04
cvxgrp/rsw
rsw: optimal representative sample weighting.
Language:Python17 4 37
cvxgrp/cvx_opt_risk_neutral
Convex optimization over risk-neutral probabilities.
Language:Jupyter Notebook15 2 08
cvxgrp/cvxpyrepair
Code for "Automatic repair of convex optimization problems".
Language:Python14 12 04
cvxgrp/osmm
oracle-structured minimization method
Language:Python13 6 22
cvxgrp/lrsm_portfolio
Portfolio Construction using Stratified Models
Language:Jupyter Notebook12 5 04
cvxgrp/mkvchain
Fitting Feature-Dependent Markov Chains
Language:Jupyter Notebook10 3 13
cvxgrp/PrincipalTimeSeries
Language:MATLAB10 5 13
cvxgrp/cone_prog_refine
Cone program refinement
Language:Python9 20 03
cvxgrp/cvx-docker
Docker image containing CVXPY and other cvxgrp libraries
6 19 02
cvxgrp/low_rank_forecasting_code
Code for "Low Rank Forecasting" paper.
Language:Jupyter Notebook6 4 22
cvxgrp/lfd_lqr
Code for "Fitting a Linear Control Policy to Demonstrations with a Kalman Constraint"
Language:Jupyter Notebook5 13 02
cvxgrp/mm_dist_lapl
Language:Python5 20 16
cvxgrp/sccf
Repository for "Minimizing a sum of clipped convex functions" paper
Language:Python5 23 01
cvxgrp/conda-recipes
Anaconda recipes for cvxgrp python packages
Language:Shell4 18 22
cvxgrp/multi_period_liability_clearing
Code for the paper "Multi-period liability clearing via convex optimal control"
Language:Python4 11 02
cvxgrp/opt_cap_res
Solves the problem of reserving link capacity in a network in such a way that any of a given set of flow scenarios can be supported.
Language:Python2 17 02
cvxgrp/extquadcontrol
Language:Python1 3 0
cvxgrp/pd-heuristics-and-bounds
Language:Julia1 4 01
cvxgrp/log_ccv_conf_int
confidence interval for log-concave density
Language:Jupyter Notebook3 0
cvxgrp/repo2docker
Turn repositories into Jupyter-enabled Docker images