Optimization packages for R

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Optimization packages for R

Does anyone know of any optimization packages out there for R (similar to NUOPT for S+)?

Thanks

+1 A:

I have used linprog for linear problems in the past.

Galwegian 2008-12-11 14:06:56

+1 and thanks a lot. I haven' touched any optimization stuff since my TurboPascal days. There were a whole bunch of other optimization packages listed in the packages page (http://cran.r-project.org/web/packages/).

wcm 2008-12-11 15:27:13

+1 A:

Linprog, mentioned by Galwegian, focuses on linear programming via the simplex algorithm. In addition you may be interested in fPortfolio if you are doing portfolio optimization.

JD Long 2009-01-12 16:20:54

+2 A:

R has many, many packages for optimization; check the CRAN Task view on Optimization: http://cran.r-project.org/web/views/Optimization.html. Of course, for nonlinear programs, there is optim(), which is standard and includes Broyden-Fletcher-Goldfarb-Shanno's algorithm, and Melder-Nead. It's a good first start.

gappy 2009-07-27 21:23:39