On Tue, Sep 1, 2015 at 11:24 PM, Wang, Xue, Ph.D. <wang....@mayo.edu> wrote:
>
> slsqp in R seems quite slow. Does anyone have some suggestion as how to speed
> up this?
>
It is no surprise that a general solver like slsqp() takes longer than
specialized quadratic solvers such as solve.QP, ipop(), or
lowRankQP(). You got good advice in this thread, even with code; so
why don't you use what has been suggested in this thread?
If in your timings you include calling lsqlin() in pracma, then this
will increase the time by at least 0.4 ms.
NLopt is an external, compiled program that cannot be accelerated from within R.
I wrote a small wrapper for all the different approaches proposed.
Here is a rough timing estimate (with microbenchmark, in
milliseconds), all derived from the MATLAB example:
with constraints w/o constraints
---------------------------------------------------
qr.solve -- 0.06 ms
slsqp 5.5 ms 5.25 ms [*]
solve.QP 0.045 ms --
ipop 5.0 ms --
lowRankQP 0.16 ms --
---------------------------------------------------
[*] plus 0.4 ms when using lsqlin for start values.
Because solve.QP is fastest, I append a function mimicking the MATLAB
API of lsqlin (without error handling for now) that can be used with
and without equality constraints, utilizing Berend's contribution. If
this is too slow, I guess you will have to look outside R, for example
Julia provides convex solvers that may be fast.
--- cut ----------------------------------------------------------------------
require(quadprog)
constrLsqlin <- function(C, d, A, b, # linear inequalities required
Aeq = NULL, beq = NULL, lb = NULL, ub = NULL) {
m <- nrow(C); n <- ncol(C)
meq <- nrow(Aeq); neq <- ncol(Aeq)
if (is.null(meq)) meq = 0
Dmat <- t(C) %*% C
dvec <- t(C) %*% d
if (is.null(Aeq)) {
Amat <- -A
bvec <- -b
} else {
Amat <- rbind(Aeq, -A)
bvec <- c(beq, -b)
}
if (!is.null(lb)) {
Amat <- rbind(Amat, diag(n))
bvec <- c(bvec, lb)
}
if (!is.null(ub)) {
Amat <- rbind(Amat, -diag(n))
bvec <- c(bvec, -ub)
}
rslt <- solve.QP(Dmat, dvec, t(Amat), bvec, meq=meq)
rslt$solution
}
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
