optiSolve-package {optiSolve}

Linear, Quadratic, and Rational Optimization

Description

Solver for linear, quadratic, and rational programs with linear, quadratic, and rational constraints. A unified interface to different R packages is provided. Optimization problems are transformed into equivalent formulations and solved by the respective package. For example, quadratic programming problems with linear, quadratic and rational constraints can be solved by augmented Lagrangian minimization using package 'alabama', or by sequential quadratic programming using solver 'slsqp'. Alternatively, they can be reformulated as optimization problems with second order cone constraints and solved with package 'cccp'.

Details

The following steps are included in solving a constrained optimization problem (cop):

1) Define the objective with one of the following functions:

linfun	defines a linear objective function,
quadfun	defines a quadratic objective function,
ratiofun	defines a rational objective function.

2) Define the constraints by using the following functions:

lincon	defines linear equality and inequality constraints,
quadcon	defines quadratic constraints,
ratiocon	defines rational constraints,
lbcon	defines lower bounds for the variables,
ubcon	defines upper bounds for the variables.

3) Put the objective function and the constraints together to define the optimization problem:

cop	defines a constrained optimization problem.

4) Solve the optimization problem:

solvecop	solves a constrained optimization problem.

5) Check if the solution fulfils all constraints:

validate	checks if the solution fulfils all constraints, and calculates the values of the constraints.

Author(s)

Robin Wellmann

Maintainer: Robin Wellmann <[e-mail]>

References

Kraft, D. (1988). A software package for sequential quadratic programming, Technical Report DFVLR-FB 88-28, Institut fuer Dynamik der Flugsysteme, Oberpfaffenhofen, July 1988.

Lange K, Optimization, 2004, Springer.

Madsen K, Nielsen HB, Tingleff O, Optimization With Constraints, 2004, IMM, Technical University of Denmark.