Re: [Rd] constrained optimization

From: Jelmer Ypma <jelmerypma_at_gmail.com>
Date: Wed, 07 Jul 2010 20:17:11 +0100

As far as I know, the reference describing the algorithm is: A. Wächter and L. T. Biegler.
On the implementation of a primal-dual interior point filter line search algorithm for large-scale nonlinear programming. Mathematical Programming, 106(1):25-57, 2006.

There are more references here:
http://www.coin-or.org/Ipopt/documentation/node205.html

I wouldn't mind putting the interface on CRAN, except that I don't know how that would work, since compilation of Ipopt is not straightforward (due to dependencies). There are some pre-compiled libraries of Ipopt available, but I haven't tried these. On Windows and Linux I successfully installed Ipopt and the R interface from source. Ideas on how to make the installation process easier for users are very welcome!

Jelmer

On Wed, Jul 7, 2010 at 17:23, Christophe Dutang <dutangc_at_gmail.com> wrote:
> 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/>)
>> >
>> > 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
>



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