[R] Convex optimization in R?

[Ravi Varadhan]

Ken Lange's MM `algorithm' is a possibility for these non-smooth,, convex
problems. It has been implemented in `constrOptim' for handling linear
inequality constraints in the minimization of smooth objective functions.  I
have extended this to nonlinear inequalities.  It can be further extended
for convex functions, if one can come up with a smooth function that
majorizes the convex objective function.  This can be easily done for the
absolute value function.  

Ravi.


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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Hans W. Borchers
Sent: Thursday, September 11, 2008 7:19 AM
To: r-help at stat.math.ethz.ch
Subject: Re: [R] Convex optimization in R?

Hesen Peng <hesen.peng <at> gmail.com> writes:

> 
> Hi my R buddies,
> 
> I'm trying to solve a specific group of convex optimization in R. The 
> admissible region is the inside and surface of a multi-dimensional 
> eclipse area and the goal function is the sum of absolution values of 
> the variables. Could any one please tell me whether there's a package 
> in R to do this? Thank you very much,


To my knowledge there does not exist a designated R package for convex
optimization. Also, in the Optimization task view the AMS nomenclature
90C25 for "Convex programming" (CP) is not mentioned.

On the other hand, this task view may give you some ideas on how to solve
your problem with one of the available optimization packages.
For instance, a problem including sums of absolute values can be modeled as
a linear program with mixed integer variables (MILP).

There is a free module for 'disciplined' convex optimization, CVX, that can
be integrated with Matlab or Python. Hopefully, there will be a CVX R
package in the future (as has been announced/promised).

Hans Werner Borchers
ABB Corporate Research


> Best wishes,
> 
> --
> Hesen Peng
> http://hesen.peng.googlepages.com/

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