Epsilon

Epsilon is a system for general convex programming using fast linear and proximal operators.

As with existing convex programming frameworks (e.g. CVX, CVXPY, Convex.jl, etc.), users specify convex optimization problems using a natural grammar for mathematical expressions, composing functions in a way that is guaranteed to be convex by the rules of disciplined convex programming. Given such an input, the Epsilon compiler transforms the optimization problem into a mathematically equivalent form consisting only of functions with efficient proximal operators---an intermediate representation we refer to as prox-affine form. By reducing problems to this form, Epsilon enables solving general convex problems using a large library of fast proximal and linear operators and is often faster than existing approaches by an order of magnitude or more.

For more information, refer to the Epsilon documentation.