[R-SIG-Finance] Fastest simplex algorithm package (faster than linprog) ?
u0055 at wolke7.net
u0055 at wolke7.net
Fri Jun 12 08:30:14 CEST 2015
Dear Arne,
Dear Brian,
Dear Joe,
Dear R-SIGs,
Thanks a lot for all your help.
My problem is solved :-)
Problem:
My problem was that calculating a simplex was to slowly.
I didn't use R directly.
My program is written in NodeJS,
the library "RIO" puts data to Rserve and
Rserve is coupled with R.
My calculation was slowly,
because the simplex input data had to travel this way and
the result data takes the same way back.
Input data is ca.
1000 free variables * 3000 constraints = 3000000 values.
This data transfer costs me ca. 40 seconds per round trip.
Solution:
My solution is to use node-lp_solve without using R:
https://github.com/smremde/node-lp_solve
Now the 3000000 values are connected program intern
to the simplex algo.
Thanks again and all the best,
Uwe
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