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

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