Discover cvxgrp/sigopt Open Source project

Portfolio optimization and back-testing.

1,788

cvxportfolio

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

966

scs

Splitting Conic Solver

547

cvxbook_additional_exercises

Minimum-distortion embedding with PyTorch

544

pymde

Materials for a short course on convex optimization.

536

cvx_short_course

An R modeling language for convex optimization problems.

327

CVXR

206

proximal

Sample implementations of proximal operators

Code generation with CVXPY

186

cvxpygen

A CVXPY extension for convex-concave programming

127

dccp

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

123

qcqp

Greedy Gaussian Segmentation

106

GGS

Differentiation through cone programs

diffcp

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

cocp

ncvx

cvxflow

A simple and general framework for signal decomposition

signal-decomposition

Repository for "Fitting a Kalman Smoother to Data"

auto_ks

cov_pred_finance

Power Network Optimization and Simulation.

cvxpower

A CVXPY extension for multi-convex programming

dmcp

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

qcml

ADMM for Mixed-Integer Quadratic Programming

CVXcanon

C++

miqp_admm

vwap_opt_exec

Volume Weighted Average Price Optimal Execution

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

fastpathplanning

Tool to support backtests

simulator

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

cptopt

Anderson accelerated Douglas-Rachford splitting

a2dr

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

kelly_code

A distributed method for fitting Laplacian regularized stratified models.

strat_models

A CVXPY extension for saddle problems

dsp

cvxmarkowitz

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

nonexp_global_aa1

C package performing operator splitting for control

osc

markowitz-reference

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

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

exp_util_gm_portfolio_opt

Primal-Dual Operator Splitting Method for Conic Optimization

pdos

cvxstatarb

Anderson Acceleration

Covariance prediction via convex optimization

covpred

rsw: optimal representative sample weighting.

rsw

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

l1_ls

Convex optimization over risk-neutral probabilities.

cvx_opt_risk_neutral

Code for "Automatic repair of convex optimization problems".

cvxpyrepair

oracle-structured minimization method

osmm

Portfolio Construction using Stratified Models

lrsm_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

robust_bond_portfolio

Fitting Feature-Dependent Markov Chains

mkvchain

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

icqm

Subgradient calculator for Python

subgradpy

cone_prog_refine

Cone program refinement

PrincipalTimeSeries

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

torch_linops

cvxrisk

Compile risk with cvxpy

Value-gradient iteration for convex stochastic control

vgi

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

SURE-CR

Oracle-Structured Bundle Distributed Optimization (OSBDO)

OSBDO

critical line algorithm for efficient frontier

cvxcla

QSS: Quadratic-Separable Solver

qss

Smooth periodic consistent quantile estimation

spcqe

Code for "Low Rank Forecasting" paper.

low_rank_forecasting_code

graph_isom

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

mlr_fitting

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

WaveOperators.jl

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

l1_tf

cvx-docker

Docker image containing CVXPY and other cvxgrp libraries

cvx-finance-examples

Makefile

lfd_lqr

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

Linear algebra for structured sparse matrices

lass

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

sccf

mm_dist_lapl

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

ls-spa

Anaconda recipes for cvxgrp python packages

conda-recipes

Shell

joint-lrsm

Joint graph learning and model fitting in Laplacian Regularized Stratified Models

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

multi_period_liability_clearing

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

l1_logreg

resalloc

Efficient allocation of fungible resources

Fitting multilevel factor model

multilevel_factor_model

n-queens

PhysicalBounds.jl

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

incre_prox_mf_mpc

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

home-energy-management

Example cli using fire, poetry and pipx

cvxcli

A Python tool to analyze joint distributions of boolean random variables

boolprob

dealing with json and bson files

cvxbson

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.

opt_cap_res

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

smooth_multiperiodic_forecasting_experiments

ewmm_code

Code for the EWMM paper

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

pv_bundt_cake

Public code for Robust Empirical Risk Minimization Paper

rerm_code

ls-spa-benchmark

extquadcontrol

A julia package for disciplined convex programming.

convexjl

cvx_stat_arb

cvxbacktest

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

coneos

pd-heuristics-and-bounds

We use this repo to automate and avoid boilerplate issue

boilerplate

100

randalo