Ryan Cory-Wright's repositories
SparsePortfolioSelection.jl
Julia implementation of the algorithm described in the paper "A scalable algorithm for sparse portfolio selection" by Bertsimas and Cory-Wright
MatrixPerspectiveSoftware
Code accompanying the Matrix Perspective paper by Bertsimas, Cory-Wright and Pauphilet
MixedProjectionSoftware
Code accompanying the Mixed-Projection Conic Optimization paper by Bertsimas, Cory-Wright and Pauphilet
ScalableSPCA.jl
Code accompanying the paper "Solving Large-Scale Sparse PCA to Certifiable (Near) Optimality" by Bertsimas, Cory-Wright and Pauphilet
MultipleComponentsSoftware
Code supplement to paper "Sparse PCA With Multiple Components"
ryancorywright.github.io
Professional website of Ryan Cory-Wright
Gurobi.jl
Julia interface for Gurobi Optimizer
Optimal-SPCA
Julia implementation of Optimal-SPCA
osqp
The Operator Splitting QP Solver
ryancorywright
Profile Description
SubsetSelectionCIO.jl
Cutting-plane algorithm for exact cardinality-constrained regression