468 citations · 768 across the 16 of their papers we have counts for
22 papers
CVXPY 1.9: Recent Advances in Optimization Modeling Software
William Zhang, Parth Nobel, Aryaman Jeendgar +3
CVXPY is a Python-embedded domain-specific language for convex optimization that lets users express problems in mathematical notation while the system verifies convexity and reduce…
An Operator Splitting Method for Large-Scale CVaR-Constrained Quadratic Programs
Eric Luxenberg, David Pérez-Piñeiro, Steven Diamond +1
We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadrat…
Strategic Asset Allocation with Illiquid Alternatives
Eric Luxenberg, Stephen Boyd, Mykel Kochenderfer +6
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiqu…
Embedded Code Generation with CVXPY
Maximilian Schaller, Goran Banjac, Steven Diamond +3
We introduce CVXPYgen, a tool for generating custom C code, suitable for embedded applications, that solves a parametrized class of convex optimization problems. CVXPYgen is based…
Differentiable Convex Optimization Layers
Akshay Agrawal, Brandon Amos, Shane Barratt +3
Recent work has shown how to embed differentiable optimization problems (that is, problems whose solutions can be backpropagated through) as layers within deep learning architectur…
Disciplined Geometric Programming
Akshay Agrawal, Steven Diamond, Stephen Boyd
We introduce log-log convex programs, which are optimization problems with positive variables that become convex when the variables, objective functions, and constraint functions a…