About

Code

ConicIP
This code is a pure Julia implementation of the primal-dual predictor corrector found in cvxopt, written with an emphasis on robustness, brevity, portability and numerical stability.

Examples:
LASSO, Trend Filtering, Group-LASSO, Support Vector Machines (primal, dual, kernel), Support Vector Regression, Quantile Regression, Robust Regression, Non-Negative Least Squares, Convex.jl integration, JuMP Integration

Publications

Satisfying Real-world Goals with Dataset Constraints
There's more to the life of a machine learning model, I am sad to report, than optimizing for training accuracy. And when you can't have everything at once, the best thing you can do is compromise. But what better compromise than the optimal one?

Paper
Tail Bounds for Stochastic Gradient Descent
My first paper in grad school. Here I investigated at the role concentration plays in randomized algorithms for optimization, in particular stochastic gradient descent.

Paper

Personal Projects

Press