[Rd] constrained optimization

From: Christophe Dutang <dutangc_at_gmail.com>
Date: Wed, 07 Jul 2010 14:01:12 +0200

ink1">Dear list,

The task view on optimization does not reference a package for non linear constrained optimization problems. Stefan Theussl told me to look at the Rsolnp package, but unfortunately it is not very clear what method is R ported. (The authors ported the matlab code of Yinyu Ye http://www.stanford.edu/~yyye/ <http://www.stanford.edu/%7Eyyye/>)

Currently I'm looking for an implementation of sequential quadratic programming to replicate SNOPT*. A good reference I found on the web is this booklet
http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/5456/pdf/imm5456.pdf .

Does anyone know an implementation of such algorithms? Is there any fortran implementation available useful if I have to implement it?

Thanks in advance


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