Stanford University Convex Optimization Group (@cvxgrp)
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cvxgrp

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Top repositories

1

cvxpylayers

Differentiable convex optimization layers
Python
1,788
star
2

cvxportfolio

Portfolio optimization and back-testing.
Python
966
star
3

scs

Splitting Conic Solver
C
547
star
4

cvxbook_additional_exercises

Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
544
star
5

pymde

Minimum-distortion embedding with PyTorch
Python
536
star
6

cvx_short_course

Materials for a short course on convex optimization.
Jupyter Notebook
327
star
7

CVXR

An R modeling language for convex optimization problems.
R
206
star
8

proximal

Sample implementations of proximal operators
MATLAB
186
star
9

cvxpygen

Code generation with CVXPY
Python
127
star
10

dccp

A CVXPY extension for convex-concave programming
Python
123
star
11

qcqp

A CVXPY extension for handling nonconvex QCQP via Suggest-and-Improve framework
Python
106
star
12

GGS

Greedy Gaussian Segmentation
Python
96
star
13

diffcp

Differentiation through cone programs
Python
91
star
14

cocp

Source code for the examples accompanying the paper "Learning convex optimization control policies."
Jupyter Notebook
80
star
15

ncvx

Python
73
star
16

cvxflow

Python
66
star
17

signal-decomposition

A simple and general framework for signal decomposition
Jupyter Notebook
60
star
18

auto_ks

Repository for "Fitting a Kalman Smoother to Data"
Python
55
star
19

cov_pred_finance

Jupyter Notebook
54
star
20

cvxpower

Power Network Optimization and Simulation.
Python
48
star
21

dmcp

A CVXPY extension for multi-convex programming
Python
45
star
22

qcml

A Python parser for generating Python/C/Matlab solver interfaces
Python
43
star
23

CVXcanon

C++
42
star
24

miqp_admm

ADMM for Mixed-Integer Quadratic Programming
C
41
star
25

vwap_opt_exec

Volume Weighted Average Price Optimal Execution
Jupyter Notebook
41
star
26

fastpathplanning

A fast algorithm for finding an optimal path in a collection of safe boxes
Python
37
star
27

simulator

Tool to support backtests
Jupyter Notebook
36
star
28

cptopt

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
Python
31
star
29

a2dr

Anderson accelerated Douglas-Rachford splitting
Python
29
star
30

kelly_code

Code and examples for the project on risk-constrained Kelly gambling
Jupyter Notebook
26
star
31

strat_models

A distributed method for fitting Laplacian regularized stratified models.
Python
25
star
32

dsp

A CVXPY extension for saddle problems
Python
24
star
33

cvxmarkowitz

Jupyter Notebook
23
star
34

nonexp_global_aa1

Globally Convergent Type-I Anderson Acceleration for Non-Smooth Fixed-Point Iterations
MATLAB
21
star
35

osc

C package performing operator splitting for control
C
21
star
36

markowitz-reference

This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
Python
20
star
37

exp_util_gm_portfolio_opt

Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
Python
20
star
38

pdos

Primal-Dual Operator Splitting Method for Conic Optimization
C
20
star
39

cvxstatarb

Jupyter Notebook
19
star
40

aa

Anderson Acceleration
Jupyter Notebook
19
star
41

covpred

Covariance prediction via convex optimization
Python
18
star
42

rsw

rsw: optimal representative sample weighting.
Python
17
star
43

l1_ls

This is the repository for the l1_ls, a simple Matlab solver for l1-regularized least squares problems.
MATLAB
17
star
44

cvx_opt_risk_neutral

Convex optimization over risk-neutral probabilities.
Jupyter Notebook
14
star
45

cvxpyrepair

Code for "Automatic repair of convex optimization problems".
Python
14
star
46

osmm

oracle-structured minimization method
Python
13
star
47

lrsm_portfolio

Portfolio Construction using Stratified Models
Jupyter Notebook
12
star
48

robust_bond_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
Python
10
star
49

mkvchain

Fitting Feature-Dependent Markov Chains
Jupyter Notebook
10
star
50

icqm

MATLAB script for approximating the solution to the integer convex quadratic minimization problem
MATLAB
10
star
51

subgradpy

Subgradient calculator for Python
Python
9
star
52

cone_prog_refine

Cone program refinement
Python
9
star
53

PrincipalTimeSeries

MATLAB
9
star
54

torch_linops

A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.
Python
9
star
55

cvxrisk

Compile risk with cvxpy
Jupyter Notebook
9
star
56

vgi

Value-gradient iteration for convex stochastic control
Python
8
star
57

SURE-CR

Tractable evaluation of Stein's Unbiased Risk Estimator on convexly regularized estimators
Python
8
star
58

OSBDO

Oracle-Structured Bundle Distributed Optimization (OSBDO)
Python
7
star
59

sigopt

Solvers for sigmoidal programming problems
Python
7
star
60

cvxcla

critical line algorithm for efficient frontier
Jupyter Notebook
7
star
61

qss

QSS: Quadratic-Separable Solver
Jupyter Notebook
7
star
62

spcqe

Smooth periodic consistent quantile estimation
Jupyter Notebook
7
star
63

low_rank_forecasting_code

Code for "Low Rank Forecasting" paper.
Jupyter Notebook
6
star
64

graph_isom

Python
6
star
65

mlr_fitting

Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices
Jupyter Notebook
6
star
66

WaveOperators.jl

Building matrices in physics is hard; that's why this package exists.
Julia
6
star
67

l1_tf

This is the repository for the l1_tf, software for l1 trend filtering.
C
6
star
68

cvx-docker

Docker image containing CVXPY and other cvxgrp libraries
6
star
69

cvx-finance-examples

Makefile
6
star
70

lfd_lqr

Code for "Fitting a Linear Control Policy to Demonstrations with a Kalman Constraint"
Jupyter Notebook
5
star
71

lass

Linear algebra for structured sparse matrices
Python
5
star
72

sccf

Repository for "Minimizing a sum of clipped convex functions" paper
Python
5
star
73

mm_dist_lapl

Python
5
star
74

ls-spa

A package for efficient Shapley performance attribution for least-squares problems
Python
5
star
75

conda-recipes

Anaconda recipes for cvxgrp python packages
Shell
4
star
76

joint-lrsm

Joint graph learning and model fitting in Laplacian Regularized Stratified Models
Python
4
star
77

multi_period_liability_clearing

Code for the paper "Multi-period liability clearing via convex optimal control"
Python
4
star
78

l1_logreg

This is the repository for the l1_logreg, l1-regularized logistic regression problem solver.
C
3
star
79

resalloc

Efficient allocation of fungible resources
Jupyter Notebook
3
star
80

multilevel_factor_model

Fitting multilevel factor model
Jupyter Notebook
3
star
81

n-queens

Python
2
star
82

PhysicalBounds.jl

Julia
2
star
83

incre_prox_mf_mpc

code for the paper Incremental Proximal Multi-Forecast Model Predictive Control
Jupyter Notebook
2
star
84

home-energy-management

Home energy management with dynamic tariffs and tiered peak power charges.
Jupyter Notebook
2
star
85

cvxcli

Example cli using fire, poetry and pipx
Python
2
star
86

boolprob

A Python tool to analyze joint distributions of boolean random variables
Python
2
star
87

cvxbson

dealing with json and bson files
Python
2
star
88

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.
Python
2
star
89

smooth_multiperiodic_forecasting_experiments

Notebook accompanying numerical results section of the paper "Interpretable Net Load Forecasting Using Smooth Multiperiodic Features".
Jupyter Notebook
2
star
90

ewmm_code

Code for the EWMM paper
Jupyter Notebook
2
star
91

pv_bundt_cake

Code reproducing results of the paper "Time Dilated Bundt Cake Analysis of PV Output"
Jupyter Notebook
2
star
92

rerm_code

Public code for Robust Empirical Risk Minimization Paper
Python
1
star
93

ls-spa-benchmark

Python
1
star
94

extquadcontrol

Python
1
star
95

convexjl

A julia package for disciplined convex programming.
1
star
96

cvx_stat_arb

Jupyter Notebook
1
star
97

cvxbacktest

Python
1
star
98

coneos

C package that solves convex cone problems via operator splitting (DEPRECATED, new project https://github.com/cvxgrp/scs)
C
1
star
99

pd-heuristics-and-bounds

Julia
1
star
100

boilerplate

We use this repo to automate and avoid boilerplate issue
Python
1
star