Hello Ravi, Yes I'm willing to test it. Tell me when there is an R version of it.
Christophe 2010/7/7 Ravi Varadhan <rvarad...@jhmi.edu> > Paul, > > SQUAREM is not an optimization package. It is an "accelerator" of > fixed-point iteration such as the EM, MM, and other algorithms. > > I am referring to a set of functions that I have written, which I call > "ALABAMA" for Augmented Lagrangian Adaptive Barrier Minimization Algorithm. > I think it should be package up pretty soon as there seems to be a need for > nonlinearly constrained optimization in R. > > Best, > Ravi. > > -----Original Message----- > From: Paul Gilbert [mailto:pgilb...@bank-banque-canada.ca] > Sent: Wednesday, July 07, 2010 9:18 AM > To: Ravi Varadhan; Christophe Dutang > Subject: RE: [Rd] constrained optimization > > Ravi > > I think you are referring to the SQUAREM package. The development > version is available at https://r-forge.r-project.org/R/?group_id=395 > and can be installed with install.packages("SQUAREM", > repos="http://R-Forge.R-project.org";) . > > Paul > > >-----Original Message----- > >From: r-devel-boun...@r-project.org [mailto:r-devel-boun...@r- > >project.org] On Behalf Of Ravi Varadhan > >Sent: July 7, 2010 9:10 AM > >To: 'Christophe Dutang'; r-devel@r-project.org > >Subject: Re: [Rd] constrained optimization > > > >Hi Christophe, > > > >I have an algorithm for solving nonlinearly constrained optimization. > It > >is > >a combination of an interior point (for inequalities) algorithm with an > >augmented Lagrangian (for equalities). It is coded entirely in R, and > >hence > >is a bit slow, but it seems to do the job quite robustly in terms of > >handling poor starting values. I can send this to you, if you are > >interested. > > > >Ravi. > > > >-----Original Message----- > >From: r-devel-boun...@r-project.org [mailto:r-devel-boun...@r- > >project.org] > >On Behalf Of Christophe Dutang > >Sent: Wednesday, July 07, 2010 8:01 AM > >To: r-devel@r-project.org > >Subject: [Rd] constrained optimization > > > >Dear list, > > > >The task view on optimization does not reference a package for non > >linear > >constrained optimization problems. Stefan Theussl told me to look at > the > >Rsolnp package, but unfortunately it is not very clear what method is R > >ported. (The authors ported the matlab code of Yinyu Ye > >http://www.stanford.edu/~yyye/ <http://www.stanford.edu/%7Eyyye/> < > http://www.stanford.edu/%7Eyyye/>) > > > >Currently I'm looking for an implementation of sequential quadratic > >programming to replicate SNOPT*. A good reference I found on the web is > >this > >booklet > >http://www2.imm.dtu.dk/pubdb/views/edoc_download.php/5456/pdf/imm5456.p > d > >f . > > > >Does anyone know an implementation of such algorithms? Is there any > >fortran > >implementation available useful if I have to implement it? > > > >Thanks in advance > > > >Christophe > > > > > >* SNOPT: An SQP Algorithm For Large-Scale Constrained Optimization > >(1997) by > >Philip E. Gill , Walter Murray , Michael , Michael A. Saunders > >-- > >Christophe DUTANG > >Ph. D. student at ISFA, Lyon, France > > > > [[alternative HTML version deleted]] > > > >______________________________________________ > >R-devel@r-project.org mailing list > >https://stat.ethz.ch/mailman/listinfo/r-devel > > > >______________________________________________ > >R-devel@r-project.org mailing list > >https://stat.ethz.ch/mailman/listinfo/r-devel > > ==================================================================================== > > La version française suit le texte anglais. > > > ------------------------------------------------------------------------------------ > > This email may contain privileged and/or confidential information, and the > Bank of > Canada does not waive any related rights. Any distribution, use, or copying > of this > email or the information it contains by other than the intended recipient > is > unauthorized. If you received this email in error please delete it > immediately from > your system and notify the sender promptly by email that you have done so. > > > ------------------------------------------------------------------------------------ > > Le présent courriel peut contenir de l'information privilégiée ou > confidentielle. > La Banque du Canada ne renonce pas aux droits qui s'y rapportent. Toute > diffusion, > utilisation ou copie de ce courriel ou des renseignements qu'il contient > par une > personne autre que le ou les destinataires désignés est interdite. Si vous > recevez > ce courriel par erreur, veuillez le supprimer immédiatement et envoyer sans > délai à > l'expéditeur un message électronique pour l'aviser que vous avez éliminé de > votre > ordinateur toute copie du courriel reçu. > > -- Christophe DUTANG Ph. D. student at ISFA, Lyon, France [[alternative HTML version deleted]]
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