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Optimizer Question

You don?t say anything about the nature of your problem domain beyond its size,
but for convex problems Mosek is a good option, and there is an R interface
called Rmosek that is quite convenient.

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                Urbana, IL 61801