Alexandre d'Aspremont - Software

  • A commercial implementation of the Libor Market Model calibration algorithm is available from RaisePartner

  • DSPCA: Sparse PCA using semidefinite programming.

  • COVSEL: First order algorithm for sparse covariance selection.

  • PathSPCA: A fast greedy algorithm for Sparse PCA.

  • IndefiniteSVM: Support vector machine classification using indefinite kernels.

  • NSProp: Testing the nullspace property using semidefinite programming.

  • COVPATH: A pathwise algorithm for covariance selection. The library is available on CRAN.

  • PhaseCut: Phase retrieval for imaging problems.