Re: [Rd] constrained optimization

From: Christophe Dutang <dutangc_at_gmail.com>
Date: Wed, 07 Jul 2010 18:25:52 +0200

Hello Ravi,

Yes I'm willing to test it. Tell me when there is an R version of it.

Christophe

2010/7/7 Ravi Varadhan <rvaradhan_at_jhmi.edu>

> Paul,
>
> SQUAREM is not an optimization package. It is an "accelerator" of
> fixed-point iteration such as the EM, MM, and other algorithms.
>
> I am referring to a set of functions that I have written, which I call
> "ALABAMA" for Augmented Lagrangian Adaptive Barrier Minimization Algorithm.
> I think it should be package up pretty soon as there seems to be a need for
> nonlinearly constrained optimization in R.
>
> Best,
> Ravi.
>
> -----Original Message-----
> From: Paul Gilbert [mailto:pgilbert_at_bank-banque-canada.ca]
> Sent: Wednesday, July 07, 2010 9:18 AM
> To: Ravi Varadhan; Christophe Dutang
> Subject: RE: [Rd] constrained optimization
>
> Ravi
>
> I think you are referring to the SQUAREM package. The development
> version is available at https://r-forge.r-project.org/R/?group_id=395
> and can be installed with install.packages("SQUAREM",
> repos="http://R-Forge.R-project.org") .
>
> Paul
>
> >-----Original Message-----
> >From: r-devel-bounces_at_r-project.org [mailto:r-devel-bounces_at_r-
> >project.org] On Behalf Of Ravi Varadhan
> >Sent: July 7, 2010 9:10 AM
> >To: 'Christophe Dutang'; r-devel_at_r-project.org
> >Subject: Re: [Rd] constrained optimization
> >
> >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/> <
> 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.p
> d
> >f .
> >
> >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]]
> >
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> >
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-- 
Christophe DUTANG
Ph. D. student at ISFA, Lyon, France

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