Ken Lange's MM `algorithm' is a possibility for these non-smooth,, convex problems. It has been implemented in `constrOptim' for handling linear inequality constraints in the minimization of smooth objective functions. I have extended this to nonlinear inequalities. It can be further extended for convex functions, if one can come up with a smooth function that majorizes the convex objective function. This can be easily done for the absolute value function.
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: [EMAIL PROTECTED] Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html ---------------------------------------------------------------------------- -------- -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Hans W. Borchers Sent: Thursday, September 11, 2008 7:19 AM To: [EMAIL PROTECTED] Subject: Re: [R] Convex optimization in R? Hesen Peng <hesen.peng <at> gmail.com> writes: > > Hi my R buddies, > > I'm trying to solve a specific group of convex optimization in R. The > admissible region is the inside and surface of a multi-dimensional > eclipse area and the goal function is the sum of absolution values of > the variables. Could any one please tell me whether there's a package > in R to do this? Thank you very much, To my knowledge there does not exist a designated R package for convex optimization. Also, in the Optimization task view the AMS nomenclature 90C25 for "Convex programming" (CP) is not mentioned. On the other hand, this task view may give you some ideas on how to solve your problem with one of the available optimization packages. For instance, a problem including sums of absolute values can be modeled as a linear program with mixed integer variables (MILP). There is a free module for 'disciplined' convex optimization, CVX, that can be integrated with Matlab or Python. Hopefully, there will be a CVX R package in the future (as has been announced/promised). Hans Werner Borchers ABB Corporate Research > Best wishes, > > -- > Hesen Peng > http://hesen.peng.googlepages.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.
