[R] Solving an optimization problem: selecting an "optimal" subset

Dimitri Shvorob dimitri.shvorob at gmail.com
Sat Jan 30 12:42:49 CET 2010

> Is it a subset of a vector containing 100 elements, or 10000ths? 

I need to pick 2-40 elements out of a 50-200-element-long vector.

> A random number of elements that should be chosen, or the best 10 values
> which sums up to a defined value? 

The best 10 values. 

I still think that Rcplex is the way to go; what's missing is some
linear-algebra expertise on my part to set up the problem as quadratic. 

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