I've recently been reminded of the importance of developing efficiently computable and available computer codes. Thus, besides my main theoretical interests, I have taken a strong interest in computation and implementation for developing codes for optimization and pursuing their applications in large-scale data analysis.
Below is an incomplete list of computer programs written by myself and my advisors, which can be downloaded for free for academic purposes. For any issues, you may feel free to reach me by email.
SparseLP - an efficient primal-dual hybrid algorithm for solving large-scale linear programs that exhibit structured sparsity. (Work-in-Progress)
- Main programmer: Jacob Aguirre
- Supported Languages: MATLAB and Julia
- Source code: Please click here
- Publication: This code accompanies an ongoing project by myself and my advisors, inspired by recent ideas from Robert Freund.
- Notes: You may start and run all test instances via the StartInstances.m file in the matlab interface. In Julia, simply run the RunTests.jl script.
Below are some links to useful optimization software packages and tools for your convenience.
- ALAMO and Baron: Please click here.
- CVX: Matlab software for Convex Programming, please click here.
- Gurobi: Mathematical optimization solver, click here.
- JuMP and Convex: JuMP is a modeling language for mathematical optimization, and Convex is the Julia package for Disciplined Convex Programming (DCP), click here.