[R] convex optimization package for R, specifically semidefinite programming

[roger koenker]

Convex optimization is a large problem domain with many interesting
new developments,  and MOSEK is a particularly good implementation
of many of these developments.  It is quite easy to get R to speak to
MOSEK via R.matlab -- i've been doing this recently for some work on  
density
estimation, but given the commercial nature of MOSEK and most of the
other convex optimization development efforts closer coordination seems
unlikely.  (I would be delighted to be proved wrong about this...)


url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Champaign, IL 61820


On Nov 14, 2007, at 9:31 AM, Galkowski, Jan wrote:

> Recently, a package for convex optimization was announced for Python,
> based upon the LP solver GLPK, the SDP solver
> in DSDP5, and the LP and QP solvers in MOSEK.  I'm aware GLPK is
> available for R, but wondered if anyone had good
> packages for convex optimization along these lines for R.
>
> TIA.
>
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