Ravi:
Cplex use to be an independent firm. Was acquired by Ilog which was acquired by IBM. It has a nice callable API which is written in C++. It is a very good product. The other optimizer you might want to look at that performs fast is FortMP which might provide source code also. I last re-call it was written in Fortran And they had some kind of academic pricing. http://www.optirisk-systems.com/default.asp Cplex and FortMp performance was very close both are good. I have used both as standalone program and via the API calls. Another less expensive Optimizer is Loqo from Princeton. http://www.princeton.edu/~rvdb/loqo/LOQO.html The optimizer to select depends on the model trying to solve. I suggest you look at Optimization Software Guide by Jorge J. Moré and Stephen J. Wright Available from SIAM: http://www.ec-securehost.com/SIAM/FR14.html Hope this detail helps! Neil Gottlieb -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Ravi Varadhan Sent: Wednesday, November 18, 2009 9:39 AM To: 'Erwin Kalvelagen'; r-h...@stat.math.ethz.ch Subject: Re: [R] A combinatorial optimization problem: finding the best permutation of a complex vector Hi Erwin, Thank you for the information about Cplex. It seems quite impressive. Is it a proprietary software? I saw that there is a Matlab interface to it. Is there an R interface? Thanks, Ravi. ---------------------------------------------------------------------------- ------- 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: rvarad...@jhmi.edu Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h tml ---------------------------------------------------------------------------- -------- -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Erwin Kalvelagen Sent: Wednesday, November 18, 2009 12:20 AM To: r-h...@stat.math.ethz.ch Subject: Re: [R] A combinatorial optimization problem: finding the best permutation of a complex vector Ravi Varadhan <rvaradhan <at> jhmi.edu> writes: > > > When I increased N = 1000, the time was about 1400 seconds! > Not sure of this is important for you: This can be solved much faster. A good solver can solve the n=1000 problem in less than 2 seconds. The Cplex network code shows: Network - Optimal: Objective = 1.6173194067e+003 Network time = 1.58 sec. Iterations = 209126 (102313) Even solved as an LP this takes about 150 seconds. (The solutions are the same as reported by solve_LSAP). ---------------------------------------------------------------- Erwin Kalvelagen Amsterdam Optimization Modeling Group er...@amsterdamoptimization.com http://amsterdamoptimization.com ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
