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ryancorywright/README.md

Welcome to my GitHub page👋

I am currently an Assistant Professor of Analytics and Operations at Imperial College Business School, with an affiliation with the Imperial-X initiative.

My research involves making methodological advances in mixed-integer and nonlinear optimization, and applying these advances to solve central problems in the operations research, machine learning and statistics literatures. I am particularly interested in developing new algorithms for problems that are currently considered out of reach, such as solving low-rank matrix or tensor problems to certifiable optimality.

You can read my CV here.

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  1. SparsePortfolioSelection.jl SparsePortfolioSelection.jl Public

    Julia implementation of the algorithm described in the paper "A scalable algorithm for sparse portfolio selection" by Bertsimas and Cory-Wright

    Jupyter Notebook 11

  2. ScalableSPCA.jl ScalableSPCA.jl Public

    Code accompanying the paper "Solving Large-Scale Sparse PCA to Certifiable (Near) Optimality" by Bertsimas, Cory-Wright and Pauphilet

    Julia 3 2

  3. MixedProjectionSoftware MixedProjectionSoftware Public

    Code accompanying the Mixed-Projection Conic Optimization paper by Bertsimas, Cory-Wright and Pauphilet

    Julia 4 2

  4. MatrixPerspectiveSoftware MatrixPerspectiveSoftware Public

    Code accompanying the Matrix Perspective paper by Bertsimas, Cory-Wright and Pauphilet

    Jupyter Notebook 4 1