TFOCS: Templates for First-Order Conic Solvers
Good news! TFOCS is now fully open source, and free for for both academic and commercial use. More details in this announcement. Or head straight to the download page…
TFOCS (pronounced tee-fox) provides a set of Matlab templates, or building blocks, that can be used to construct efficient, customized solvers for a variety of convex models, including in particular those employed in sparse recovery applications. It was conceived and written by Stephen Becker, Emmanuel J. Candès and Michael Grant.
More information about the software can be found in the paper and the user guide.
The algorithm is not restricted to conic models; see chapter 4.6 of Stephen Becker’s 2011 PhD thesis for a description of the algorithm in terms of conjugate functions rather than dual cones.
TFOCS is jointly owned by CVX Research, Inc. and Caltech. As of October 2, 2013, it has been made freely available for both academic and commercial use under a BSD 3-Clause license. Please visit the download page for more details.