[R] Convex optimization in R?

[Hans W. Borchers]

Hesen Peng <hesen.peng <at> gmail.com> writes:

> 
> Hi my R buddies,
> 
> I'm trying to solve a specific group of convex optimization in R. The
> admissible region is the inside and surface of a multi-dimensional
> eclipse area and the goal function is the sum of absolution values of
> the variables. Could any one please tell me whether there's a package
> in R to do this? Thank you very much,


To my knowledge there does not exist a designated R package for convex
optimization. Also, in the Optimization task view the AMS nomenclature
90C25 for "Convex programming" (CP) is not mentioned.

On the other hand, this task view may give you some ideas on how to
solve your problem with one of the available optimization packages.
For instance, a problem including sums of absolute values can be
modeled as a linear program with mixed integer variables (MILP).

There is a free module for 'disciplined' convex optimization, CVX, that
can be integrated with Matlab or Python. Hopefully, there will be a CVX
R package in the future (as has been announced/promised).

Hans Werner Borchers
ABB Corporate Research


> Best wishes,
> 
> --
> Hesen Peng
> http://hesen.peng.googlepages.com/