Stanford University Convex Optimization Group

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109 repositories

cvxpylayers
Public
Differentiable convex optimization layers
Python
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Apache License 2.0
•161•1.8k•48•5•Updated Nov 16, 2024Nov 16, 2024
cvxportfolio
Public
Portfolio optimization and back-testing.
python finance time-series optimization optimizer portfolio-optimization optimization-methods optimization-algorithms convex-optimization
Python
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GNU General Public License v3.0
•258•993•27•3•Updated Nov 15, 2024Nov 15, 2024
scs
Public
Splitting Conic Solver
optimization solver linear-programming numerical-optimization semidefinite-programming optimization-algorithms quadratic-programming convex-optimization first-order-methods cone-programming
C
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MIT License
•135•550•39•1•Updated Nov 15, 2024Nov 15, 2024
cvxcli
Public
Example cli using fire, poetry and pipx
cli poetry command-line-tool pipx
Python
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Apache License 2.0
•0•2•1•0•Updated Nov 14, 2024Nov 14, 2024
cvxmarkowitz
Public
Jupyter Notebook
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Apache License 2.0
•2•24•11•2•Updated Nov 14, 2024Nov 14, 2024
cvxbson
Public
dealing with json and bson files
Python
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Apache License 2.0
•0•2•2•0•Updated Nov 14, 2024Nov 14, 2024
cov_pred_finance
Public
Jupyter Notebook
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Apache License 2.0
•7•58•10•2•Updated Nov 14, 2024Nov 14, 2024
cvxcla
Public
critical line algorithm for efficient frontier
Jupyter Notebook
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Apache License 2.0
•1•7•6•0•Updated Nov 13, 2024Nov 13, 2024
simulator
Public template
Tool to support backtests
Jupyter Notebook
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Apache License 2.0
•3•38•9•0•Updated Nov 13, 2024Nov 13, 2024
cvxrisk
Public
Compile risk with cvxpy
Jupyter Notebook
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Apache License 2.0
•0•10•2•0•Updated Nov 13, 2024Nov 13, 2024
cvx_opt_overview_examples
Public
Numerical examples for the slides
Makefile
•0•0•0•0•Updated Nov 12, 2024Nov 12, 2024
spcqe
Public
Smooth periodic consistent quantile estimation
Jupyter Notebook
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BSD 2-Clause "Simplified" License
•2•7•1•1•Updated Nov 12, 2024Nov 12, 2024
CVXR
Public
An R modeling language for convex optimization problems.
R
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Apache License 2.0
•32•206•20•2•Updated Nov 11, 2024Nov 11, 2024
cvxstatarb
Public
Jupyter Notebook
•8•19•6•0•Updated Nov 11, 2024Nov 11, 2024
cvx_short_course
Public
Materials for a short course on convex optimization.
Jupyter Notebook
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Apache License 2.0
•118•330•5•2•Updated Nov 11, 2024Nov 11, 2024
markowitz-reference
Public
This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
Python
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Apache License 2.0
•3•22•3•1•Updated Nov 11, 2024Nov 11, 2024
diffcp
Public
Differentiation through cone programs
Python
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Apache License 2.0
•21•92•8•3•Updated Nov 11, 2024Nov 11, 2024
n-queens
Public
Python
•0•2•0•0•Updated Nov 9, 2024Nov 9, 2024
optimization_via_circuits
Public
Distributed Optimization: Analysis and Synthesis via Circuits
Python
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Apache License 2.0
•1•2•0•0•Updated Nov 6, 2024Nov 6, 2024
.github
Public
Reusable workflows for cvxgrp
testing docker devops automation latex ci-cd gitops github-actions
TeX
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Apache License 2.0
•0•0•2•0•Updated Nov 4, 2024Nov 4, 2024
boilerplate
Public
We use this repo to automate and avoid boilerplate issue
Python
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Apache License 2.0
•0•1•0•0•Updated Nov 4, 2024Nov 4, 2024
cvxbook_additional_exercises
Public
Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
•158•585•0•0•Updated Oct 31, 2024Oct 31, 2024
randalo
Public
Python
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MIT License
•0•1•0•0•Updated Oct 31, 2024Oct 31, 2024
cvxpygen
Public
Code generation with CVXPY
Python
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Apache License 2.0
•17•128•10•2•Updated Oct 25, 2024Oct 25, 2024
rrandalo
Public
RandALO in R
C
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MIT License
•0•0•0•0•Updated Oct 10, 2024Oct 10, 2024
dsp
Public
A CVXPY extension for saddle problems
python optimization modeling-language cvxpy saddle-point
Python
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Apache License 2.0
•4•24•2•2•Updated Oct 1, 2024Oct 1, 2024
multilevel_factor_model
Public
Fitting multilevel factor model
Jupyter Notebook
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Apache License 2.0
•1•3•0•0•Updated Sep 30, 2024Sep 30, 2024
qss
Public
QSS: Quadratic-Separable Solver
Jupyter Notebook
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Apache License 2.0
•2•7•14•0•Updated Sep 16, 2024Sep 16, 2024
ls-spa
Public
A package for efficient Shapley performance attribution for least-squares problems
Python
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Apache License 2.0
•1•6•0•0•Updated Sep 10, 2024Sep 10, 2024
ls-spa-benchmark
Public
Python
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Apache License 2.0
•0•1•0•0•Updated Sep 10, 2024Sep 10, 2024