Stanford University Convex Optimization Group

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110 repositories

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
•257•1k•27•3•Updated Dec 13, 2024Dec 13, 2024
randalo
Public
Python
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MIT License
•0•1•0•0•Updated Dec 12, 2024Dec 12, 2024
cvxpygen
Public
Code generation with CVXPY
Python
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Apache License 2.0
•17•130•9•2•Updated Dec 10, 2024Dec 10, 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
•136•555•40•2•Updated Dec 10, 2024Dec 10, 2024
torch_linops
Public
A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.
linear-algebra matrix pytorch
Python
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Apache License 2.0
•0•9•0•0•Updated Dec 9, 2024Dec 9, 2024
cvxstatarb
Public
Jupyter Notebook
•10•21•6•0•Updated Dec 9, 2024Dec 9, 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 Dec 9, 2024Dec 9, 2024
cvx_short_course
Public
Materials for a short course on convex optimization.
Jupyter Notebook
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Apache License 2.0
•117•333•5•2•Updated Dec 9, 2024Dec 9, 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•23•3•1•Updated Dec 9, 2024Dec 9, 2024
cvxmarkowitz
Public
Jupyter Notebook
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Apache License 2.0
•2•24•11•2•Updated Dec 9, 2024Dec 9, 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•3•2•0•Updated Dec 8, 2024Dec 8, 2024
cvxcla
Public
critical line algorithm for efficient frontier
Python
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Apache License 2.0
•1•7•6•0•Updated Dec 7, 2024Dec 7, 2024
simulator
Public template
Tool to support backtests
Python
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Apache License 2.0
•2•40•9•0•Updated Dec 7, 2024Dec 7, 2024
cvxpylayers
Public
Differentiable convex optimization layers
Python
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Apache License 2.0
•162•1.8k•48•5•Updated Dec 6, 2024Dec 6, 2024
spcqe
Public
Smooth periodic consistent quantile estimation
Jupyter Notebook
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BSD 2-Clause "Simplified" License
•2•7•2•1•Updated Dec 5, 2024Dec 5, 2024
cov_pred_finance
Public
Jupyter Notebook
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Apache License 2.0
•7•62•11•2•Updated Dec 2, 2024Dec 2, 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 Dec 2, 2024Dec 2, 2024
cvxrisk
Public
Compile risk with cvxpy
Python
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Apache License 2.0
•1•10•2•0•Updated Nov 30, 2024Nov 30, 2024
cvxbson
Public
dealing with json and bson files
Python
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Apache License 2.0
•0•2•2•0•Updated Nov 30, 2024Nov 30, 2024
crypto_portfolio
Public
Jupyter Notebook
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Apache License 2.0
•1•2•0•5•Updated Nov 25, 2024Nov 25, 2024
cvx_opt_overview_examples
Public
Numerical examples for the slides
Makefile
•0•0•0•0•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•21•2•Updated Nov 11, 2024Nov 11, 2024
diffcp
Public
Differentiation through cone programs
Python
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Apache License 2.0
•21•93•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•6•0•0•Updated Nov 6, 2024Nov 6, 2024
cvxbook_additional_exercises
Public
Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
•160•602•0•0•Updated Oct 31, 2024Oct 31, 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
•3•25•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•1•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