A Centralized Library for Convex Optimization and Integration of CVXPY with ILOG CPLEX

This project proposal formalizes my intention on helping CVXPY in creating and implementing a new library to centralize the shared functionality from CVXPY, CVX, and Convex.jl. By the end of the project, the main goal is to have an efficient C++ library that performs the required actions: convert a convex optimization problem given by any of these modeling frameworks into standard form, call the solver, and return the solution to the correspondent problem. In addition, this proposal presents my intention to integrate CVXPY with ILOG CPLEX solver. This would provide the user an alternative solver other than Elemental, Gurobi, MOSEK, and GLPK. This proposal presents the main steps to accomplish both goals and possible collaborations after Google Summer of Code 2016. Finally, the proposal is concluded with a summary of my academic, research, and coding background experience.