Stanford University Convex Optimization Group

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121 repositories

cvxportfolio
Public
Portfolio optimization and back-testing.
python finance time-series optimization optimizer portfolio-optimization optimization-methods optimization-algorithms convex-optimization
Python
•
GNU General Public License v3.0
•282•1.1k•26•2•Updated Dec 24, 2025Dec 24, 2025
DNLP
Public
Disciplined nonlinear programming extension of CVXPY.
C++
•
Apache License 2.0
•1.1k•11•3•3•Updated Dec 24, 2025Dec 24, 2025
ls-spa
Public
A package for efficient Shapley performance attribution for least-squares problems
Python
•
Apache License 2.0
•1•8•0•1•Updated Dec 23, 2025Dec 23, 2025
simulator
Public template
Tool to support backtests
HTML
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MIT License
•4•48•10•0•Updated Dec 23, 2025Dec 23, 2025
cvxball
Public template
Fast computation of the smallest enclosing sphere
Python
•
MIT License
•0•9•5•0•Updated Dec 23, 2025Dec 23, 2025
cvxmarkowitz
Public
Python
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Apache License 2.0
•5•32•13•3•Updated Dec 23, 2025Dec 23, 2025
cvxrisk
Public
optimization risk barra cvar
Python
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MIT License
•4•22•3•0•Updated Dec 23, 2025Dec 23, 2025
cvxcla
Public
critical line algorithm for efficient frontier
markowitz efficient-frontier critical-line-algorithm
Python
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MIT License
•5•19•10•0•Updated Dec 23, 2025Dec 23, 2025
diffcp
Public
Differentiation through cone programs
Python
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Apache License 2.0
•25•113•11•2•Updated Dec 22, 2025Dec 22, 2025
cvxpy
Public
A Python-embedded modeling language for convex optimization problems.
C++
•
Apache License 2.0
•1.1k•22•0•0•Updated Dec 18, 2025Dec 18, 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
•143•608•43•3•Updated Dec 16, 2025Dec 16, 2025
dnlp-examples
Public
This repository contains examples accompanying the paper Disciplined Nonlinear Programming (DNLP)
Jupyter Notebook
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Apache License 2.0
•0•0•0•0•Updated Dec 16, 2025Dec 16, 2025
dccp
Public
A CVXPY extension for convex-concave programming
Python
•
GNU General Public License v3.0
•33•134•12•7•Updated Dec 14, 2025Dec 14, 2025
cvx_ccv_slides
Public
Convex-Convex Lecture Slides and Code
Python
•3•17•0•0•Updated Dec 10, 2025Dec 10, 2025
diffqcp
Public
Python
•
Apache License 2.0
•0•18•2•0•Updated Dec 7, 2025Dec 7, 2025
torch_linops
Public
A library to define abstract linear operators, and associated algebra and matrix-free algorithms, that works with pyTorch Tensors.
matrix linear-algebra pytorch
Python
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Apache License 2.0
•2•16•0•0•Updated Dec 7, 2025Dec 7, 2025
dsp
Public
A CVXPY extension for saddle problems
python optimization modeling-language cvxpy saddle-point
Python
•
Apache License 2.0
•4•28•1•6•Updated Dec 1, 2025Dec 1, 2025
cvxpygen
Public
Code generation with CVXPY
Python
•
Apache License 2.0
•27•175•11•4•Updated Nov 27, 2025Nov 27, 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
•
Apache License 2.0
•10•36•4•0•Updated Nov 24, 2025Nov 24, 2025
optimal-pricing
Public
Optimal Product Pricing
Python
•1•1•0•0•Updated Nov 8, 2025Nov 8, 2025
cvxbson
Public archive
dealing with json and bson files
Python
•
Apache License 2.0
•0•3•5•0•Updated Oct 26, 2025Oct 26, 2025
CuClarabel
Public
Julia
•
Apache License 2.0
•6•47•1•17•Updated Oct 12, 2025Oct 12, 2025
cvqp
Public
CVQP: An operator splitting method for large-scale CVaR-constrained quadratic programs
Jupyter Notebook
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Apache License 2.0
•1•26•0•0•Updated Sep 29, 2025Sep 29, 2025
cvx_short_course
Public
Materials for a short course on convex optimization.
Jupyter Notebook
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Apache License 2.0
•117•357•8•6•Updated Sep 13, 2025Sep 13, 2025
.github
Public
Reusable workflows for cvxgrp
testing docker devops automation latex ci-cd gitops github-actions
Makefile
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Apache License 2.0
•1•3•2•0•Updated Sep 11, 2025Sep 11, 2025
multilevel_factor_model
Public
Fitting multilevel factor model
Jupyter Notebook
•
Apache License 2.0
•2•4•0•0•Updated Aug 6, 2025Aug 6, 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
•27•567•26•1•Updated Jul 1, 2025Jul 1, 2025
iteratively_saturated_kalman_filter
Public
An outlier-robust Kalman filter
Python
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MIT License
•0•4•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
cvxbook_additional_exercises
Public
Additional exercises and data for EE364a. No solutions; for public consumption.
Julia
•207•821•0•0•Updated Jun 14, 2025Jun 14, 2025