SCS (splitting conic solver
) is a numerical optimization package for solving
large-scale convex cone problems. The current version is 3.2.4
.
The full documentation is available here.
If you wish to cite SCS please cite the papers listed here.
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cvxpylayers
Differentiable convex optimization layerscvxportfolio
Portfolio optimization and back-testing.pymde
Minimum-distortion embedding with PyTorchcvxbook_additional_exercises
Additional exercises and data for EE364a. No solutions; for public consumption.cvx_short_course
Materials for a short course on convex optimization.CVXR
An R modeling language for convex optimization problems.proximal
Sample implementations of proximal operatorsdccp
A CVXPY extension for convex-concave programmingcvxpygen
Code generation with CVXPYqcqp
A CVXPY extension for handling nonconvex QCQP via Suggest-and-Improve frameworkGGS
Greedy Gaussian Segmentationdiffcp
Differentiation through cone programscocp
Source code for the examples accompanying the paper "Learning convex optimization control policies."ncvx
cvxflow
signal-decomposition
A simple and general framework for signal decompositionauto_ks
Repository for "Fitting a Kalman Smoother to Data"cvxpower
Power Network Optimization and Simulation.cov_pred_finance
dmcp
A CVXPY extension for multi-convex programmingCVXcanon
qcml
A Python parser for generating Python/C/Matlab solver interfacesmiqp_admm
ADMM for Mixed-Integer Quadratic Programmingvwap_opt_exec
Volume Weighted Average Price Optimal Executionsimulator
Tool to support backtestsa2dr
Anderson accelerated Douglas-Rachford splittingcptopt
Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimizationfastpathplanning
A fast algorithm for finding an optimal path in a collection of safe boxesstrat_models
A distributed method for fitting Laplacian regularized stratified models.kelly_code
Code and examples for the project on risk-constrained Kelly gamblingdsp
A CVXPY extension for saddle problemsosc
C package performing operator splitting for controlpdos
Primal-Dual Operator Splitting Method for Conic Optimizationnonexp_global_aa1
Globally Convergent Type-I Anderson Acceleration for Non-Smooth Fixed-Point Iterationscovpred
Covariance prediction via convex optimizationaa
Anderson Accelerationl1_ls
This is the repository for the l1_ls, a simple Matlab solver for l1-regularized least squares problems.exp_util_gm_portfolio_opt
Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.rsw
rsw: optimal representative sample weighting.cvxpyrepair
Code for "Automatic repair of convex optimization problems".cvx_opt_risk_neutral
Convex optimization over risk-neutral probabilities.cvxstatarb
osmm
oracle-structured minimization methodlrsm_portfolio
Portfolio Construction using Stratified Modelscvxmarkowitz
mkvchain
Fitting Feature-Dependent Markov Chainscone_prog_refine
Cone program refinementicqm
MATLAB script for approximating the solution to the integer convex quadratic minimization problemsubgradpy
Subgradient calculator for PythonPrincipalTimeSeries
torch_linops
A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.vgi
Value-gradient iteration for convex stochastic controlrobust_bond_portfolio
Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimizationsigopt
Solvers for sigmoidal programming problemscvxcla
critical line algorithm for efficient frontierqss
QSS: Quadratic-Separable SolverOSBDO
Oracle-Structured Bundle Distributed Optimization (OSBDO)SURE-CR
Tractable evaluation of Stein's Unbiased Risk Estimator on convexly regularized estimatorsmlr_fitting
Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank MatricesWaveOperators.jl
Building matrices in physics is hard; that's why this package exists.markowitz-reference
l1_tf
This is the repository for the l1_tf, software for l1 trend filtering.cvx-docker
Docker image containing CVXPY and other cvxgrp librariesspcqe
Smooth periodic consistent quantile estimationlow_rank_forecasting_code
Code for "Low Rank Forecasting" paper.lass
Linear algebra for structured sparse matricessccf
Repository for "Minimizing a sum of clipped convex functions" papercvxrisk
Compile risk with cvxpygraph_isom
conda-recipes
Anaconda recipes for cvxgrp python packageslfd_lqr
Code for "Fitting a Linear Control Policy to Demonstrations with a Kalman Constraint"mm_dist_lapl
multi_period_liability_clearing
Code for the paper "Multi-period liability clearing via convex optimal control"ls-spa
l1_logreg
This is the repository for the l1_logreg, l1-regularized logistic regression problem solver.resalloc
Efficient allocation of fungible resourcesjoint-lrsm
Joint graph learning and model fitting in Laplacian Regularized Stratified Modelsn-queens
PhysicalBounds.jl
cvxbson
dealing with json and bson filesboolprob
A Python tool to analyze joint distributions of boolean random variablescvxcli
Example cli using fire, poetry and pipxopt_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.rerm_code
Public code for Robust Empirical Risk Minimization Paperls-spa-benchmark
extquadcontrol
convexjl
A julia package for disciplined convex programming.boilerplate
We use this repo to automate and avoid boilerplate issueincre_prox_mf_mpc
code for the paper Incremental Proximal Multi-Forecast Model Predictive Controlhome-energy-management
Home energy management with dynamic tariffs and tiered peak power charges.cvx_stat_arb
cvxbacktest
coneos
C package that solves convex cone problems via operator splitting (DEPRECATED, new project https://github.com/cvxgrp/scs)pd-heuristics-and-bounds
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