[R] modeling language for optimization problems

[Prof Brian Ripley]

On Mon, 3 Oct 2005, roger bos wrote:

> As others have alluded, R does not have any one package that is as
> versatile and powerful as NuOpt, but R does have many different optimization
> packages, so you can do LP, QP, Integer programming, and many more types of
> optimization, all without having to learn a new language. But being free,
> they are admittedly not as powerful as NuOpt. The main thing I know you can
> do in NuOpt that you cannot do in R (to my knowledge) is mixed integer
> quadratic programming, which would be nice, but there are many work arounds.

Please tell us which R packages provide

>> - primal-dual interior point method based on line search for general
>> Convex Programming (CP) models including convex Quadratic Programming
>> (CQP) models.
>>
>> - primal-dual interior point method based on trust region method for
>> general Non-Linear Programming (NLP) models.
>>
>> - primal-dual interior point method based on quasi-Newton method for
>> general Non-Linear Programming (NLP) models.
>>
>> - active set method for convex Quadratic Programming (CQP) models and
>> mixed integer Quadratic Programming(MIQP) models.'

and how you found them?  I get

> help.search("interior point")
...
rq.fit.fn(quantreg)     Quantile Regression Fitting via Interior Point
                         Methods
rq.fit.fnb(quantreg)    Quantile Regression Fitting via Interior Point
                         Methods
rq.fit.fnc(quantreg)    Quantile Regression Fitting via Interior Point
                         Methods
> help.search("convex programming")
No help files found with alias or concept or title matching 'convex
programming' using fuzzy matching.
...


> Thanks,
> Roger
>
> On 10/3/05, Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
>>
>> On Mon, 3 Oct 2005, Huntsinger, Reid wrote:
>>
>>> Have you looked at the R interface to GLPK (the GNU Linear Programming
>> Kit)?
>>> http://cran.r-project.org/src/contrib/Descriptions/glpk.html
>>
>> NUOPT is not just about LP: the subject was `language for optimization'.
>> Its manual says
>>
>> `NUOPT is a collection of powerful optimization methods, including:
>>
>> - primal-dual interior point method with higher order correction for
>> Linear Programming (LP) models.
>>
>> - simplex method for Linear Programming (LP) and mixed integer programming
>> (MILP) models.
>>
>> - primal-dual interior point method based on line search for general
>> Convex Programming (CP) models including convex Quadratic Programming
>> (CQP) models.
>>
>> - primal-dual interior point method based on trust region method for
>> general Non-Linear Programming (NLP) models.
>>
>> - primal-dual interior point method based on quasi-Newton method for
>> general Non-Linear Programming (NLP) models.
>>
>> - active set method for convex Quadratic Programming (CQP) models and
>> mixed integer Quadratic Programming(MIQP) models.'
>>
>> In any case, I don't see GLPK as a `language' and other LP solvers are
>> available in R.
>>
>>
>>> From: r-help-bounces at stat.math.ethz.ch
>>> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Prof Brian Ripley
>>> Sent: Sunday, October 02, 2005 10:38 AM
>>> To: Paolo Cavatore
>>> Cc: r-help at stat.math.ethz.ch
>>> Subject: Re: [R] modeling language for optimization problems
>>>
>>>
>>> On Sun, 2 Oct 2005, Paolo Cavatore wrote:
>>>
>>>> Does anyone know whether R has its own modeling language for
>> optimization
>>>> problems (like SIMPLE in NuOPT for S-plus)?
>>>
>>> No. Note that SIMPLE is the language of NUOPT, not of S-PLUS. There is
>>> an (extra-cost) interface module S+NUOPT, but it is an interface to
>>> NUOPT's engine.
>>>
>>> As far as I am aware R itself covers almost none of the ground of
>> S+NUOPT,
>>> and available packages cover only a small part of it.
>>
>> --
>> Brian D. Ripley, ripley at stats.ox.ac.uk
>> Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
>> University of Oxford, Tel: +44 1865 272861 (self)
>> 1 South Parks Road, +44 1865 272866 (PA)
>> Oxford OX1 3TG, UK Fax: +44 1865 272595
>>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595