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/>) 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.pdf . 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]]
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-bounces at r-project.org [mailto:r-devel-bounces at r-project.org] On Behalf Of Christophe Dutang Sent: Wednesday, July 07, 2010 8:01 AM To: r-devel at 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/>) 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.pdf . 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 at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Thank you Jelmer, I have just spent five minutes on the website, but I'm not sure to understand which method is implemented. Is it *this method? On the Implementation of a Primal-Dual Interior Point Filter Line Search Algorithm for Large-Scale Nonlinear Programming* Do you plan to put lpopt on CRAN? I'm willing to test it! Christophe 2010/7/7 Jelmer Ypma <jelmerypma@gmail.com>> Hi Christophe, > > I wrote an R interface to Ipopt ( https://projects.coin-or.org/Ipopt > ), which does non-linear constrained optimization for very large > problems. Would this be of interest to you? It took some time to find > out which license I could use to distribute it, but I'm planning to > make it publicly available this weekend. > > Jelmer > > On Wed, Jul 7, 2010 at 13:01, Christophe Dutang <dutangc@gmail.com> wrote: > > 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.pdf. > > > > 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 > > >-- Christophe DUTANG Ph. D. student at ISFA, Lyon, France [[alternative HTML version deleted]]
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 <rvaradhan@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:pgilbert@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-bounces@r-project.org [mailto:r-devel-bounces@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-bounces@r-project.org [mailto:r-devel-bounces@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]]
Have you considered using the optim function with L-BFGS-B for bounded optimization. Obviously, you will have to do changes of variables so that everything is in terms of a rectangle (which is the type of bounding that it accepts). I believe it is based on "A LIMITED MEMORY ALGORITHM FOR BOUND CONSTRAINED OPTIMIZATION" By Richard H Byrd, Peihuang Lu, Jorge Nocedal, and Ciyou Zhu. Technical Report NAM-08, May 1994. They also have a paper on the exact implementation. I also believe that R uses the code from Nocedal et al. -- View this message in context: http://r.789695.n4.nabble.com/constrained-optimization-tp2280809p2281282.html Sent from the R devel mailing list archive at Nabble.com.