Software

Here is a list of links to some miscellaneous Python packages I have developed (or are still developing).

An implementation of a conjugate gradient algorithm (GPCG) for solving bound-constrained quadratic programs.

Some implementations of randomized, matrix-free algorithms for estimating matrix traces, log determinants, diagonals, and diagonals of inverses.

An implementation of a reversible jump perturbation optimization (RJPO) method for sampling high-dimensional Gaussians.

A simple module for computing the sample statistics of an array in a running/online fashion.