An open source software package for Nonconvex Composite Optimization in MATLAB. Its main purpose is to: (a) provide a general API for creating models based on a first-order oracle framework; and (b) leverage the fast matrix subroutines in MATLAB to solve these models. The interface of NC-OPT is loosely based on the well-known Gurobi API.
The Toolkit for Adaptive Stochastic Modeling and Non-Intrusive ApproximatioN is a collection of robust libraries for high dimensional integration and interpolation as well as parameter calibration. The code consists of several modules that can be used individually or conjointly. The project is sponsored by Oak Ridge National Laboratory Directed Research and Development as well as the Department of Energy Office for Advanced Scientific Computing Research.
A Julia package for non-smooth optimization algorithms. This package provides algorithms for the minimization of objective functions that include non-smooth terms, such as constraints or non-differentiable penalties. Implemented algorithms include:
This package works well in combination with ProximalOperators, which contains a wide range of functions that can be used to express cost terms.