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Tuesday, June 28 • 1:36pm - 1:54pm
CVXR: An R Package for Modeling Convex Optimization Problems

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CVXR is an R package that provides an object-oriented modeling language for convex optimization. It allows the user to formulate convex optimization problems in a natural mathematical syntax rather than the restrictive standard form required by most solvers. The user specifies an objective and set of constraints by combining constants, variables, and parameters using a library of functions with known curvature and monotonicity properties. CVXR then applies signed disciplined convex programming (DCP) to verify the problem's convexity and, once verified, converts the problem into a standard conic form using graph implementations and passes it to an open-source cone solver such as ECOS or SCS. We demonstrate CVXR's modeling framework with several applications.

Moderators
avatar for Torben  Tvedebrink

Torben Tvedebrink

Associate Professor, Department of Mathematical Sciences, Aalborg University
I'm a statistician working in the area of forensic genetics. R is a core part of my teaching and research. I was the chair of the local organising committee for useR! 2015 in Aalborg, and part of the programme committee for useR! 2016 in Stanford.

Speakers
avatar for Anqi  Fu

Anqi Fu

Life Science Research Professional, Stanford University
I am a Life Science Research Professional working with Dr. Stephen Boyd and Dr. Lei Xing on applications of convex optimization to radiation treatment planning. Prior to here, I was a Machine Learning Scientist at H2O.ai, developing and testing large-scale, distributed algorithms like Generalized Low Rank Models (GLRM). I hold a B.S. in Electrical Engineering and a B.A. in Economics from the University of Maryland, College Park, and a M.A. in... Read More →


Tuesday June 28, 2016 1:36pm - 1:54pm
McCaw Hall 326 Galvez Street Stanford, CA 94305-6105

Attendees (64)