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cvxgrp/cvxbook_additional_exercises

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544
Rank 81,699 (Top 2 %)
Language
Julia
Created over 2 years ago
Updated 3 months ago

cvxgrp/cvxbook_additional_exercises

cvxgrp

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Additional exercises and data for EE364a. No solutions; for public consumption.

cvxbook_additional_exercises

This repo contain additional exercises and data files in Python, Julia, and Matlab for Stanford EE364a, Convex Optimization, that do not appear in the book Convex Optimization.

It is updated after each quarter the course is taught, so the exercise numbers can change.

Instructors can request the solutions by emailing the authors. Please include a link to your course.

cvxpylayers

Differentiable convex optimization layers

cvxportfolio

Portfolio optimization and back-testing.

scs

Splitting Conic Solver

pymde

Minimum-distortion embedding with PyTorch

cvx_short_course

Materials for a short course on convex optimization.

Jupyter Notebook

CVXR

An R modeling language for convex optimization problems.

proximal

Sample implementations of proximal operators

cvxpygen

Code generation with CVXPY

dccp

A CVXPY extension for convex-concave programming

qcqp

A CVXPY extension for handling nonconvex QCQP via Suggest-and-Improve framework

GGS

Greedy Gaussian Segmentation

diffcp

Differentiation through cone programs

cocp

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

Jupyter Notebook

ncvx

cvxflow

signal-decomposition

A simple and general framework for signal decomposition

Jupyter Notebook

auto_ks

Repository for "Fitting a Kalman Smoother to Data"

cov_pred_finance

Jupyter Notebook

cvxpower

Power Network Optimization and Simulation.

dmcp

A CVXPY extension for multi-convex programming

qcml

A Python parser for generating Python/C/Matlab solver interfaces

CVXcanon

miqp_admm

ADMM for Mixed-Integer Quadratic Programming

vwap_opt_exec

Volume Weighted Average Price Optimal Execution

Jupyter Notebook

fastpathplanning

A fast algorithm for finding an optimal path in a collection of safe boxes

simulator

Tool to support backtests

Jupyter Notebook

cptopt

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

a2dr

Anderson accelerated Douglas-Rachford splitting

kelly_code

Code and examples for the project on risk-constrained Kelly gambling

Jupyter Notebook

strat_models

A distributed method for fitting Laplacian regularized stratified models.

dsp

A CVXPY extension for saddle problems

cvxmarkowitz

Jupyter Notebook

nonexp_global_aa1

Globally Convergent Type-I Anderson Acceleration for Non-Smooth Fixed-Point Iterations

osc

C package performing operator splitting for control

markowitz-reference

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

exp_util_gm_portfolio_opt

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

pdos

Primal-Dual Operator Splitting Method for Conic Optimization

cvxstatarb

Jupyter Notebook

aa

Anderson Acceleration

Jupyter Notebook

covpred

Covariance prediction via convex optimization

rsw

rsw: optimal representative sample weighting.

l1_ls

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

cvx_opt_risk_neutral

Convex optimization over risk-neutral probabilities.

Jupyter Notebook

cvxpyrepair

Code for "Automatic repair of convex optimization problems".

osmm

oracle-structured minimization method

lrsm_portfolio

Portfolio Construction using Stratified Models

Jupyter Notebook

robust_bond_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

mkvchain

Fitting Feature-Dependent Markov Chains

Jupyter Notebook

icqm

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

subgradpy

Subgradient calculator for Python

cone_prog_refine

Cone program refinement

PrincipalTimeSeries

torch_linops

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

cvxrisk

Compile risk with cvxpy

Jupyter Notebook

vgi

Value-gradient iteration for convex stochastic control

SURE-CR

Tractable evaluation of Stein's Unbiased Risk Estimator on convexly regularized estimators

OSBDO

Oracle-Structured Bundle Distributed Optimization (OSBDO)

sigopt

Solvers for sigmoidal programming problems

cvxcla

critical line algorithm for efficient frontier

Jupyter Notebook

qss

QSS: Quadratic-Separable Solver

Jupyter Notebook

spcqe

Smooth periodic consistent quantile estimation

Jupyter Notebook

low_rank_forecasting_code

Code for "Low Rank Forecasting" paper.

Jupyter Notebook

graph_isom

mlr_fitting

Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices

Jupyter Notebook

WaveOperators.jl

Building matrices in physics is hard; that's why this package exists.

l1_tf

This is the repository for the l1_tf, software for l1 trend filtering.

cvx-docker

Docker image containing CVXPY and other cvxgrp libraries

cvx-finance-examples

lfd_lqr

Code for "Fitting a Linear Control Policy to Demonstrations with a Kalman Constraint"

Jupyter Notebook

lass

Linear algebra for structured sparse matrices

sccf

Repository for "Minimizing a sum of clipped convex functions" paper

mm_dist_lapl

ls-spa

A package for efficient Shapley performance attribution for least-squares problems

conda-recipes

Anaconda recipes for cvxgrp python packages

joint-lrsm

Joint graph learning and model fitting in Laplacian Regularized Stratified Models

multi_period_liability_clearing

Code for the paper "Multi-period liability clearing via convex optimal control"

l1_logreg

This is the repository for the l1_logreg, l1-regularized logistic regression problem solver.

resalloc

Efficient allocation of fungible resources

Jupyter Notebook

multilevel_factor_model

Fitting multilevel factor model

Jupyter Notebook

n-queens

PhysicalBounds.jl

incre_prox_mf_mpc

code for the paper Incremental Proximal Multi-Forecast Model Predictive Control

Jupyter Notebook

home-energy-management

Home energy management with dynamic tariffs and tiered peak power charges.

Jupyter Notebook

cvxcli

Example cli using fire, poetry and pipx

boolprob

A Python tool to analyze joint distributions of boolean random variables

cvxbson

dealing with json and bson files

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.

smooth_multiperiodic_forecasting_experiments

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

Jupyter Notebook

ewmm_code

Code for the EWMM paper

Jupyter Notebook

pv_bundt_cake

Code reproducing results of the paper "Time Dilated Bundt Cake Analysis of PV Output"

Jupyter Notebook

rerm_code

Public code for Robust Empirical Risk Minimization Paper

ls-spa-benchmark

extquadcontrol

convexjl

A julia package for disciplined convex programming.

cvx_stat_arb

Jupyter Notebook

cvxbacktest

coneos

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

pd-heuristics-and-bounds

boilerplate

We use this repo to automate and avoid boilerplate issue

randalo