Stanford University Convex Optimization Group

cvxpylayers

Differentiable convex optimization layers

cvxportfolio

Portfolio optimization and back-testing.

scs

Splitting Conic Solver

cvxbook_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.

cvxpygen

Code generation with CVXPY

diffcp

Differentiation through cone programs

signal-decomposition

A simple and general framework for signal decomposition

cov_pred_finance

simulator

Tool to support backtests

cptopt

Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

dsp

A CVXPY extension for saddle problems

cvxmarkowitz

cvxstatarb

markowitz-reference

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

robust_bond_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

cvxrisk

Compile risk with cvxpy

cvxcla

critical line algorithm for efficient frontier

qss

QSS: Quadratic-Separable Solver

spcqe

Smooth periodic consistent quantile estimation

cvx-finance-examples

cvxbson

dealing with json and bson files

cvxcli

Example cli using fire, poetry and pipx

pv_bundt_cake

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

smooth_multiperiodic_forecasting_experiments

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

boilerplate

We use this repo to automate and avoid boilerplate issue

multilevel_factor_model

Fitting multilevel factor model

.github

Reusable workflows for cvxgrp

lr_distributed_routing

Approximate Distributed Routing via Low Dimensional Embedding