[R-SIG-Finance] Fastest simplex algorithm package (faster than linprog) ?

[Atwood, Joseph]

Uwe
I would suggest that you attempt to run your problem using R's API versions of:
lpSolveAPI, glpkAPI, and clpAPI.

You might also find the following report useful.

http://prod.sandia.gov/techlib/access-control.cgi/2013/138847.pdf

In the Sandia Labs test clp substantially outperformed both  lpSolve and glpk for most problems in their set of benchmark tests but you should probably compare their relative performance on your specific problem.

Joe Atwood
Montana State University




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