Re: [Rd] constrained optimization

From: Christophe Dutang <dutangc_at_gmail.com>
Date: Wed, 07 Jul 2010 18:23:42 +0200

Thank you Jelmer,

I have just spent five minutes on the website, but I'm not sure to understand which method is implemented. Is it *this method? On the Implementation of a Primal-Dual Interior Point Filter Line Search Algorithm for Large-Scale Nonlinear Programming*

Do you plan to put lpopt on CRAN? I'm willing to test it!

Christophe

2010/7/7 Jelmer Ypma <jelmerypma_at_gmail.com>

> Hi Christophe,
>
> I wrote an R interface to Ipopt (
https://projects.coin-or.org/Ipopt
> ), which does non-linear constrained optimization for very large
> problems. Would this be of interest to you? It took some time to find
> out which license I could use to distribute it, but I'm planning to
> make it publicly available this weekend.
>
> Jelmer
>
> On Wed, Jul 7, 2010 at 13:01, Christophe Dutang <dutangc_at_gmail.com> wrote:
> > 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/> <
> 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
> >
> >
> > * SNOPT: An SQP Algorithm For Large-Scale Constrained Optimization (1997)
> by
> > Philip E. Gill , Walter Murray , Michael , Michael A. Saunders
> > --
> > Christophe DUTANG
> > Ph. D. student at ISFA, Lyon, France
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-devel_at_r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-devel
> >
>

-- 
Christophe DUTANG
Ph. D. student at ISFA, Lyon, France

	[[alternative HTML version deleted]]

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