[R] SDP & QCQP

[Martin Maechler]

>>>>> "Ramzi" == Ramzi TEMANNI <ramzi.temanni at laposte.net>
>>>>>     on Tue, 11 May 2004 13:45:09 +0200 writes:

    Ramzi> Hi, Are there package in R that can solve
    Ramzi> semidefinite programming problem and Quadratically
    Ramzi> Constrained Quadratic Programming ?

You have probably seen the 'quadprog' package which only
deals with quadratic "programming" of linear constraints.

as for "semidefinite" (I don't know what you mean with exactly),
note that the  solve.QP() function in the quadprog package has
an argument 'meq' :

     meq: the first `meq' constraints are treated as equality
          constraints, all further as inequality constraints (defaults
          to 0). 

so you can have both equality and inequality constraints.

---

Other constrained optimization problems can be solved with
"standard R"'s  function  constrOptim()  {thanks to Brian Ripley}; 
but that too allows only linear constraints.

Regards,
Martin Maechler