[R] convex optimization package for R, specifically semidefinite programming

[Hans W Borchers]

>
Hi there,

I do assume you are talking about the CVXOPT (and CVXMOD) Python package(s). 
Please note that CVXOPT only contains _interfaces_ to the solvers in MOSEK, 
because these are commercial products (as Roger Koenker already has mentioned).

There appear to be some Python/Scipy-based solvers available in CVXOPT, but for 
larger applications one would still have to utilize the original CVX modules. 
CVX itself is a free "Matlab software for disciplined convex optimization". As 
you can read on their Web page <http://www.stanford.edu/~boyd/cvx/>, future 
plans are to port it to other frameworks such as *R*, Octave, or Mathematica.

Perhaps the R community could accelerate such an R port by contacting the 
developers and by offering support and provision (I can't, I'm no programmer, 
I am only modeling and trying to solve optimization problems).

--  Hans Werner


Galkowski, Jan <jgalkows <at> akamai.com> writes:
> 
> Recently, a package for convex optimization was announced for Python,
> based upon the LP solver GLPK, the SDP solver
> in DSDP5, and the LP and QP solvers in MOSEK.  I'm aware GLPK is
> available for R, but wondered if anyone had good
> packages for convex optimization along these lines for R.
> 
> TIA.
> 
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