Software I’ve been working on (also check out my Github profile):

  • GluonTS. Python toolkit for probabilistic time series modeling, with a focus on deep learning architectures, built around Apache MXNet.

  • ProximalAlgorithms.jl. Efficient, generic Julia implementations of first-order optimization algorithms for nonsmooth problems, based on operator splittings: forward-backward (proximal gradient method), Douglas-Rachford (ADMM), primal-dual, and Davis-Yin splitting algorithms. Also contains Newton-type extensions. Based on:

  • ProximalOperators.jl. Julia package to compute the proximal operator of several functions commonly used in nonsmooth optimization problems. Useful as building block to implement large-scale optimization algorithms such as ADMM.

  • ForBES. MATLAB solver for nonsmooth optimization, contains a library of mathematical functions to formulate problems arising in control, machine learning, image and signal processing.

  • libLBFGS. C library providing the structures and routines to implement the limited-memory BFGS algorithm (L-BFGS) for large-scale smooth unconstrained optimization. Contains a Mex interface to MATLAB.

Just for fun:

  • Matto. Simple chess player implemented in C. I started this when I was 17 and learning the C programming language, so there’s a lot of room for improvement. Yet it plays!

  • podds. Multi-threaded Texas hold ‘em poker odds evaluation tool, written in C, command line only.