Stanford University Convex Optimization Group

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120 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
•272•1.1k•25•2•Updated Jul 24, 2025Jul 24, 2025
simulator
Public template
Tool to support backtests
Python
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Other
•3•46•11•0•Updated Jul 23, 2025Jul 23, 2025
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
•9•32•4•1•Updated Jul 22, 2025Jul 22, 2025
cvxrisk
Public
optimization risk barra cvar
Python
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Other
•2•15•3•0•Updated Jul 22, 2025Jul 22, 2025
cvxcla
Public
critical line algorithm for efficient frontier
markowitz efficient-frontier critical-line-algorithm
Python
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Other
•2•16•9•0•Updated Jul 22, 2025Jul 22, 2025
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•26•1•1•Updated Jul 21, 2025Jul 21, 2025
cvxpy-ipopt
Public
IPOPT port of Python-embedded modeling language for optimization problems.
C++
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Apache License 2.0
•1.1k•1•0•2•Updated Jul 20, 2025Jul 20, 2025
diffcp
Public
Differentiation through cone programs
Python
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Apache License 2.0
•23•101•11•4•Updated Jul 19, 2025Jul 19, 2025
cvxpygen
Public
Code generation with CVXPY
Python
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Apache License 2.0
•23•158•9•4•Updated Jul 16, 2025Jul 16, 2025
cvxball
Public template
Fast computation of the smallest enclosing sphere
Python
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MIT License
•1•9•5•0•Updated Jul 10, 2025Jul 10, 2025
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
•139•580•42•2•Updated Jul 8, 2025Jul 8, 2025
pymde
Public
Minimum-distortion embedding with PyTorch
visualization machine-learning gpu cuda pytorch dimensionality-reduction embedding graph-embedding feature-vectors
Python
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Apache License 2.0
•26•557•26•1•Updated Jul 1, 2025Jul 1, 2025
CuClarabel
Public
Julia
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Apache License 2.0
•5•33•1•14•Updated Jun 26, 2025Jun 26, 2025
cvqp
Public
CVQP: An operator splitting method for large-scale CVaR-constrained quadratic programs
Python
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Apache License 2.0
•0•6•0•0•Updated Jun 23, 2025Jun 23, 2025
iteratively_saturated_kalman_filter
Public
An outlier-robust Kalman filter
Python
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MIT License
•0•1•0•0•Updated Jun 19, 2025Jun 19, 2025
mra_precovery
Public
Multiple-response agents
Jupyter Notebook
•0•0•0•0•Updated Jun 19, 2025Jun 19, 2025
cvxbson
Public
dealing with json and bson files
Python
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Apache License 2.0
•0•2•4•0•Updated Jun 18, 2025Jun 18, 2025
cvxbook_additional_exercises
Public
Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
•191•734•0•0•Updated Jun 14, 2025Jun 14, 2025
cov_pred_finance
Public
Jupyter Notebook
•
Apache License 2.0
•11•68•14•3•Updated Jun 13, 2025Jun 13, 2025
.github
Public
Reusable workflows for cvxgrp
testing docker devops automation latex ci-cd gitops github-actions
Python
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Apache License 2.0
•0•3•1•0•Updated Jun 13, 2025Jun 13, 2025
cvxcli
Public template
Example cli using fire, uv and uvx
cli command-line-tool uv uvx
Python
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Apache License 2.0
•0•2•2•0•Updated Jun 13, 2025Jun 13, 2025
cvxstatarb
Public
Jupyter Notebook
•13•27•8•0•Updated Jun 13, 2025Jun 13, 2025
multilevel_factor_model
Public
Fitting multilevel factor model
Jupyter Notebook
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Apache License 2.0
•1•3•1•0•Updated Jun 8, 2025Jun 8, 2025
lpcf
Public
Learning parametric convex functions
Python
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Apache License 2.0
•1•6•0•0•Updated Jun 5, 2025Jun 5, 2025
cvx_short_course
Public
Materials for a short course on convex optimization.
Jupyter Notebook
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Apache License 2.0
•116•346•8•5•Updated May 25, 2025May 25, 2025
cvxmarkowitz
Public
Python
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Apache License 2.0
•4•28•12•3•Updated May 24, 2025May 24, 2025
boilerplate
Public
We use this repo to automate and avoid boilerplate issue
Python
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Apache License 2.0
•0•1•1•0•Updated May 24, 2025May 24, 2025
cvx_ccv_slides
Public
Convex-Convex Lecture Slides and Code
Python
•3•13•0•0•Updated May 8, 2025May 8, 2025
aging_aware_battery_control
Public
This repository contains data and notebooks for the paper ``Aging-Aware Battery Control via Convex Optimization".
Jupyter Notebook
•1•1•0•0•Updated May 5, 2025May 5, 2025
randalo
Public
Python
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MIT License
•0•4•0•0•Updated Apr 17, 2025Apr 17, 2025