Re: [Rd] constrained optimization

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Wed, 07 Jul 2010 09:10:18 -0400

Hi Christophe,

I have an algorithm for solving nonlinearly constrained optimization. It is a combination of an interior point (for inequalities) algorithm with an augmented Lagrangian (for equalities). It is coded entirely in R, and hence is a bit slow, but it seems to do the job quite robustly in terms of handling poor starting values. I can send this to you, if you are interested.

Ravi.

-----Original Message-----
From: r-devel-bounces_at_r-project.org [mailto:r-devel-bounces_at_r-project.org] On Behalf Of Christophe Dutang
Sent: Wednesday, July 07, 2010 8:01 AM
To: r-devel_at_r-project.org
Subject: [Rd] constrained optimization

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

Christophe

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