[R] convex optimization package for R, specifically semidefinite programming
Hans W Borchers
hwborchers at googlemail.com
Thu Nov 15 12:43:58 CET 2007
>
Hi there,
I do assume you are talking about the CVXOPT (and CVXMOD) Python package(s).
Please note that CVXOPT only contains _interfaces_ to the solvers in MOSEK,
because these are commercial products (as Roger Koenker already has mentioned).
There appear to be some Python/Scipy-based solvers available in CVXOPT, but for
larger applications one would still have to utilize the original CVX modules.
CVX itself is a free "Matlab software for disciplined convex optimization". As
you can read on their Web page <http://www.stanford.edu/~boyd/cvx/>, future
plans are to port it to other frameworks such as *R*, Octave, or Mathematica.
Perhaps the R community could accelerate such an R port by contacting the
developers and by offering support and provision (I can't, I'm no programmer,
I am only modeling and trying to solve optimization problems).
-- Hans Werner
Galkowski, Jan <jgalkows <at> akamai.com> writes:
>
> 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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