[Rd] constrained optimization
jelmerypma at gmail.com
Wed Jul 7 21:17:11 CEST 2010
As far as I know, the reference describing the algorithm is:
A. Wächter 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:
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!
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!
> 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.
>> 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]]
>> > ______________________________________________
>> > R-devel at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-devel
> Christophe DUTANG
> Ph. D. student at ISFA, Lyon, France
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