Convex optimization now plays an essential role in many facets of statistics.
We briefly survey some recent developments and describe some implementations
of some methods in R.
The paper is available in pdf. It was written for a forthcoming special issue of J. of Statistical Software on optimization. The associated R package REBayes is available from CRAN.
A paper on computational methods for quantile regression prepared for the forthcoming Handbook of Quantile Regression, is available here, and slides for a talk about it here..
Comments are, of course, always welcome.