Is there any optimization package available that uses first order methods for MATLAB?

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I am looking for first order methods like Frank-Wolfe etc. The reason I look for first order packages is because my constrained convex optimization problem has a large number of variables.

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I highly recommend TFOCS, created by Michael Grant (the primary developer for CVX) and Boyd.

You could also check out the POGS software from Boyd's student Chris Fougner.