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constrained optimization
2 messages · Christophe Dutang, Jelmer Ypma
As far as I know, the reference describing the algorithm is: A. W?chter 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]]
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-- Christophe DUTANG Ph. D. student at ISFA, Lyon, France