cvxgrp/CVXR: Disciplined Convex Optimization

An object-oriented modeling language for disciplined convex programming (DCP) as described in Fu, Narasimhan, and Boyd (2020, <doi:10.18637/jss.v094.i14>). It allows the user to formulate convex optimization problems in a natural way following mathematical convention and DCP rules. The system analyzes the problem, verifies its convexity, converts it into a canonical form, and hands it off to an appropriate solver to obtain the solution. Interfaces to solvers on CRAN and elsewhere are provided, both commercial and open source.

install.packages("remotes")
remotes::install_github("cvxgrp/CVXR")