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rsolnp
2012 Jul 18
4
The best solver for non-smooth functions?
...the following code (please, run it:
# it's fully working and requires just few minutes
# to finish):
require(CreditMetrics)
require(clusterGeneration)
install.packages("Rdonlp2", repos= c("http://R-Forge.R-project.org",
getOption("repos")))
install.packages("Rsolnp2", repos= c("http://R-Forge.R-project.org",
getOption("repos")))
require(Rdonlp2)
require(Rsolnp)
require(Rsolnp2)
N <- 3
n <- 100000
r <- 0.0025
ead <- rep(1/3,3)
rc <- c("AAA", "AA", "A", "BBB", "BB", &quo...