[R-sig-hpc] Optimizer Question

[Roger Koenker]

You don’t say anything about the nature of your problem domain beyond its size,
but for convex problems Mosek is a good option, and there is an R interface
called Rmosek that is quite convenient.

url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Urbana, IL 61801

> On Aug 4, 2017, at 3:21 PM, Bromaghin, Jeffrey <jbromaghin at usgs.gov> wrote:
> 
> Dear r-sig-hpc members,
> 
> I have developed a new method of interest to ecologists that involves
> solving a large optimization problem.  One example I used in a recent paper
> had over 5,700 parameters.  I have been using Matlab and a optimization
> library called Tomlab, which works quite well.  However, I would like to
> incorporate this new method into an R package, but question whether the
> optimizers available in R can handle a problem of this size efficiently.
> Does anyone have experience solving such large problems with any of the
> optimizers available in R and, if so, what optimizer(s) would you recommend
> I try?
> 
> Thank you,
> Jeff
> -----------------------------------------------
> Jeffrey F. Bromaghin, PhD
> Research Statistician
> USGS Alaska Science Center
> Marine Ecosystems Office
> 4210 University Drive
> Anchorage, AK 99508
> 907-786-7086
> jbromaghin at usgs.gov
> *http://alaska.usgs.gov/science/biology/quantitative_ecology/index.php
> <http://alaska.usgs.gov/science/biology/quantitative_ecology/index.php>*
> 
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