Templates for First-Order Conic Solvers (2010)
A Matlab software package designed to solve all compressed sensing (and low-rank recovery) problems, but in fact it goes much farther and solves all conic programming problems. Joint work with Michael Grant and Emmanuel Candès. This is actively maintained. Paper
Nesterov's Algorithm (2009)
A Matlab software package designed to solve some constrained compressed sensing problems, when the measurement matrix is a partial isometry or not too large (however, the analysis dictionary may be very large). Joint work with Jerome Bobin and Emmanuel Candès. paper
Singular Value Thresholding (2009)
A Matlab (with mex files) package for matrix completion via nuclear-norm minimization. Please email me if you have questions about the software (and include information on the verson of Matlab, the operating system, and the hardware – e.g. 32-bit or 64-bit). I am working on making it more compatible with 64-bit systems and compatible with complex-valued data. We have experimental versions using Nesterov stepsizes and even L-BFGS acceleration, but these are standard optimization tricks so we have not described them in papers. SVT is now one of the classic “reference” algorithms used in the field. The version provided is very simple and doesn't use a line search feature, and may even diverge if you set the stepsize above the legal limit. For this reason, we recommend using TFOCS, which is a more powerful version of SVT. paper
For working on a cluster with Portable Batch Script (PBS), and specifically for the SHC cluster at Caltech's CACR group, see my introductory SHC guide written in August 2008.
Here is a quick reference guide to BLAS in PDF which I have taken from netlib's version and used pkfix-helper and pkfix to make a PDF that actually has readable fonts.