Stanford University Convex Optimization Group

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Results 40 repositories owned by Stanford University Convex Optimization Group

cptopt

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Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

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dsp

21
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A CVXPY extension for saddle problems

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covpred

17
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Covariance prediction via convex optimization

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cov_pred_finance

37
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5
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exp_util_gm_portfolio_opt

15
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Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.

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fastpathplanning

26
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A fast algorithm for finding an optimal path in a collection of safe boxes

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nonexp_global_aa1

17
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10
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Globally Convergent Type-I Anderson Acceleration for Non-Smooth Fixed-Point Iterations

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osc

18
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C package performing operator splitting for control

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rsw

15
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rsw: optimal representative sample weighting.

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simulator

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Tool to support backtests

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