Stanford University Convex Optimization Group

Repositories

• cvxpy

  A Python-embedded modeling language for convex optimization problems.

  python optimization modeling-language cvxpy
  C++ 650 2,857 87 (8 issues need help) 10 Updated Nov 8, 2020

• diffcp

  Differentiation through cone programs
  Python Apache-2.0 6 35 5 3 Updated Nov 4, 2020

• scs

  C package that solves convex cone problems via operator splitting

  admm semidefinite-programming convex-optimization first-order-methods cone-programming
  C MIT 96 316 16 0 Updated Nov 3, 2020

• low_rank_forecasting_code

  Code for "Low Rank Forecasting" paper.
  Jupyter Notebook 0 1 0 0 Updated Nov 2, 2020

• cvxpyanalyzer
  Python Apache-2.0 1 1 1 0 Updated Nov 2, 2020

• cvxpylayers

  Differentiable convex optimization layers
  Python Apache-2.0 60 788 11 (1 issue needs help) 2 Updated Oct 28, 2020

• sccf

  Repository for "Minimizing a sum of clipped convex functions" paper
  Python Apache-2.0 1 4 0 0 Updated Oct 19, 2020

• aa

  Anderson Acceleration
  Jupyter Notebook MIT 3 9 0 0 Updated Oct 3, 2020

• kelly_code

  Code and examples for the project on risk-constrained Kelly gambling
  Jupyter Notebook GPL-3.0 12 18 1 1 Updated Oct 2, 2020

• CVXR

  An R modeling language for convex optimization problems.
  R Apache-2.0 22 124 16 0 Updated Sep 25, 2020

• extquadcontrol
  Python MIT 0 0 0 0 Updated Sep 21, 2020

• CVXcanon
  C++ 22 30 7 0 Updated Sep 18, 2020

• dccp

  A CVXPY extension for convex-concave programming
  Python 22 71 3 0 Updated Sep 13, 2020

• cvxpower

  Power Network Optimization and Simulation.
  Python Apache-2.0 13 24 3 0 Updated Aug 28, 2020

• cvx_short_course

  Materials for a short course on convex optimization.
  Jupyter Notebook 67 184 0 2 Updated Aug 8, 2020

• dmcp

  A CVXPY extension for multi-convex programming
  Python 6 29 1 0 Updated Jul 28, 2020

• a2dr

  Anderson accelerated Douglas-Rachford splitting
  Python Apache-2.0 3 12 0 0 Updated Jul 21, 2020

• ncvx
  Python GPL-3.0 14 50 4 0 Updated Jun 4, 2020

• rsw

  rsw: optimal representative sample weighting.
  Python Apache-2.0 1 3 0 0 Updated May 21, 2020

• qcqp

  A CVXPY extension for handling nonconvex QCQP via Suggest-and-Improve framework
  Python MIT 14 69 9 1 Updated May 4, 2020

• cvx_opt_risk_neutral

  Convex optimization over risk-neutral probabilities.
  Jupyter Notebook 3 5 0 0 Updated Apr 22, 2020

• strat_models

  A distributed method for fitting Laplacian regularized stratified models.
  Python Apache-2.0 3 13 1 1 Updated Apr 17, 2020

• PrincipalTimeSeries
  MATLAB 2 2 0 0 Updated Apr 9, 2020

• multi_period_liability_clearing

  Code for the paper "Multi-period liability clearing via convex optimal control"
  Python Apache-2.0 2 1 0 0 Updated Apr 8, 2020

• cvxportfolio

  Portfolio optimization and simulation in Python
  Python 119 309 23 5 Updated Apr 6, 2020

• auto_ks

  Repository for "Fitting a Kalman Smoother to Data"
  Python Apache-2.0 4 10 1 0 Updated Mar 15, 2020

• cone_prog_refine

  Cone program refinement
  Python Apache-2.0 2 9 0 0 Updated Mar 6, 2020

• cvxpyrepair

  Code for "Automatic repair of convex optimization problems".
  Python Apache-2.0 3 9 0 0 Updated Feb 4, 2020

• lfd_lqr

  Code for "Fitting a Linear Control Policy to Demonstrations with a Kalman Constraint"
  Jupyter Notebook Apache-2.0 1 3 0 0 Updated Jan 22, 2020

• cocp

  Source code for the examples accompanying the paper "Learning convex optimization control policies."

  learning control-systems convex-optimization differentiable-programming
  Jupyter Notebook 9 35 1 0 Updated Dec 24, 2019