Top 14 convex-optimization Open-Source Projects

• Riskfolio-Lib

  193 2,720 7.4 C++

  Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

Project mention: Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2361.0 | /r/algoprojects | 2023-11-14

• osqp

  4 1,573 8.1 C

  The Operator Splitting QP Solver

  

Project mention: Best/Any Convex Optimization Solver for Rust? | /r/rust | 2023-05-31

There's also two bindings for the osqp library (which is written in C), osqp published 2 years ago and osqp-rust published 3 months ago. I don't know what are the differences between them, but they both target osqp 0.6.2 (released in 2021) while the last released version is osqp 0.6.3 which was released last week.

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• deepdow

  22 847 3.7 Python

  Portfolio optimization with deep learning.

Project mention: DeepDow: Portfolio optimization with deep learning. Portfolio Selection and Optimisation - star count:758.0 | /r/algoprojects | 2023-11-10

• cvxportfolio

  3 803 9.9 Python

  Portfolio optimization and back-testing.

  

Project mention: cvxportfolio: NEW Portfolio Selection and Optimisation - star count:690.0 | /r/algoprojects | 2023-12-10

• Optimization.jl

  3 674 9.7 Julia

  Mathematical Optimization in Julia. Local, global, gradient-based and derivative-free. Linear, Quadratic, Convex, Mixed-Integer, and Nonlinear Optimization in one simple, fast, and differentiable interface.

  

Project mention: SciPy: Interested in adopting PRIMA, but little appetite for more Fortran code | news.ycombinator.com | 2023-05-18

Interesting response. I develop the Julia SciML organization https://sciml.ai/ and we'd be more than happy to work with you to get wrappers for PRIMA into Optimization.jl's general interface (https://docs.sciml.ai/Optimization/stable/). Please get in touch and we can figure out how to set this all up. I personally would be curious to try this out and do some benchmarks against nlopt methods.

• osqp-eigen

  1 354 5.8 C++

  Simple Eigen-C++ wrapper for OSQP library

  

Project mention: Meson support for CLion 'tentatively' scheduled for 2023.3 | /r/cpp | 2023-06-21

[1] btw. I recommend InstallBasicPackageFiles.cmake if you are writing a library and don't want to travel down this absurd road yourself

• Clarabel.rs

  3 257 8.5 Rust

  Clarabel.rs: Interior-point solver for convex conic optimisation problems in Rust.

  

• SaaSHub

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• Open-L2O

  1 251 2.6 C++

  Open-L2O: A Comprehensive and Reproducible Benchmark for Learning to Optimize Algorithms

  

• Optimization-Python

  1 221 0.0 Jupyter Notebook

  General optimization (LP, MIP, QP, continuous and discrete optimization etc.) using Python

• portfolio_allocation_js

  1 169 0.0 JavaScript

  A JavaScript library to allocate and optimize financial portfolios.

• cocp

  1 78 10.0 Jupyter Notebook

  Source code for the examples accompanying the paper "Learning convex optimization control policies."

  

Project mention: GPT can tune your PID/LQR controllers | /r/ControlTheory | 2023-06-22

I agree and I think I may be able to do what you propose (using COCP). Will share results once I get some. In general I think GPT can be really powerful in translating human feedback in cost functions and constraints for optimization problems.

• analisis-numerico-computo-cientifico

  1 44 0.0 Jupyter Notebook

  Análisis numérico y cómputo científico

  

• depict

  2 27 6.6 Rust

  depict – share mental models better (by mstone)

• Diversificador

  1 21 0.0 Python

  Diversificador de carteira de investimentos utilizando otimização de Markowitz

• SaaSHub

  www.saashub.com featured

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convex-optimization related posts

• cvxportfolio: NEW Portfolio Selection and Optimisation - star count:690.0

  1 project | /r/algoprojects | 10 Dec 2023

• Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2361.0

  1 project | /r/algoprojects | 14 Nov 2023

• Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2361.0

  1 project | /r/algoprojects | 10 Nov 2023

• Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2361.0

  1 project | /r/algoprojects | 9 Nov 2023

• Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2313.0

  1 project | /r/algoprojects | 17 Oct 2023

• Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2222.0

  1 project | /r/algoprojects | 28 Aug 2023

• Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2222.0

  1 project | /r/algoprojects | 27 Aug 2023
• A note from our sponsor - InfluxDB
  www.influxdata.com | 17 May 2024

  Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality. Learn more →

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