ROI::ROI_solve( problem, solver, control, ... )
DEoptim::DEoptim() # differential evolution!

Rsolnp # general non-linear optimisation

This is from my R conspects. Can try to take a look at those.
For your problem quadprog might be the best option regarding speed. I like DEoptim a lot, but I use it for more complicated problems when I can not find simpler solution. Try adjusting parameters of it, it has 5 or 6 different approaches to the problem. Adding jitter helps in some cases(might slow process a bit, but not sure). I used it when I was optimising with respect to non-linear functions of portfolio evolution as drawdown.



Kind regards,-- 
Dominykas Grigonis


On Thursday, 6 June 2013 at 07:55, Bastian Offermann wrote:

> Hi all,
> I am working on a large scale portfolio optimization problem with up to 
> 500 assets. My objective function is simple
> 
> w*returns - 1/2 * 1/constant * w * Matrix * w
> 
> subject to sum(w) == 1 and w is a vector of weights with 0 <= w[i] <= 1 
> for all i = 1, ..., n.
> 
> I have tried quadprog, alabama and DEoptim. What are your experiences 
> with those and possibly other options?
> Thanks in advance!
> 
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