Alexandre d'Aspremont - Software

FANOK: Knockoffs in linear time.

A SCIKIT-LEARN compatible implementation of Naive Feature Selection.

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.