[R] Optimization and Linear Programming in R

Hans W Borchers hwborchers at googlemail.com
Fri Jun 26 14:07:34 CEST 2009


 <Chris.Wilcox <at> csiro.au> writes:

> Dear List,
> 
> [...]
> 
> We are looking for a solver that can deal with this nonlinear integer 
> programming problem. We looked at a number of packages on the CRAN Task 
> View: Optimization and Mathematical Programming, however, we have not 
> been able to locate one that will suit our purposes. The essential 
> features are we need to be able to write a nonlinear function for the 
> objective (hopefully a self contained one as we need to include some 
> data in it), we need to be able to use a binary decision (or parameter) 
> vector, and we need to be able to use a constraint. Any suggestions as 
> to packages or other software that will work for our problem would be 
> much appreciated. 

What you desribe appears to be a 'Mixed Integer NonLinear Programming' 
(MINLP) problem. R may not be the right place to look for such kind of 
solvers. You can have a look into the NEOS "Optimization Software Guide" 
or into the Projects page of the "COmputational INfrastructure for
Operations Research" (COIN-OR).

The 'Bonmin' COIN-OR project could perhaps provide an appropriate solver 
for this problem. The RINO project on 'R-forge' plans to provide Rbonmin 
and Rlago packages, but this may take some time.

Perhaps by reconsidering your problem approach you can (at least partly) 
linearize your target function or see if it can be made convex, etc.; it 
did not sound to be too complex.

--Hans Werner

P.S.: As far as I know, 'solnp' does not solve mixed integer problems.

> Thanks,
> 
> Chris Wilcox and Greg Thonier
>




More information about the R-help mailing list